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Commodity convenience yield and risk premium determination: The case of the U.S. natural gas market

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  • Chiou Wei, Song Zan
  • Zhu, Zhen
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Bibliographic Info

Article provided by Elsevier in its journal Energy Economics.

Volume (Year): 28 (2006)
Issue (Month): 4 (July)
Pages: 523-534

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Handle: RePEc:eee:eneeco:v:28:y:2006:i:4:p:523-534

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  1. Roy Bailey and Marcus Chambers, . "A Theory of Commodity Price Fluctuations," Economics Discussion Papers 432, University of Essex, Department of Economics.
  2. Zhu, Zhen, 2002. "Time-varying forward bias and the expected excess return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 119-137, April.
  3. Considine, Timothy J. & Larson, Donald F., 2001. "Uncertainty and the convenience yield in crude oil price backwardations," Energy Economics, Elsevier, vol. 23(5), pages 533-548, September.
  4. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
  5. Nikolaos Milonas & Thomas Henker, 2001. "Price spread and convenience yield behaviour in the international oil market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 23-36.
  6. Brennan, Donna & Williams, Jeffrey & Wright, Brian D, 1997. "Convenience Yield without the Convenience: A Spatial-Temporal Interpretation of Storage under Backwardation," Economic Journal, Royal Economic Society, vol. 107(443), pages 1009-22, July.
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Cited by:
  1. Kuper, Gerard H., 2012. "Inventories and upstream gasoline price dynamics," Energy Economics, Elsevier, vol. 34(1), pages 208-214.
  2. Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron, 2006. "Convenience Yields for CO2 Emission Allowance Futures Contracts," SFB 649 Discussion Papers SFB649DP2006-076, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Botterud, Audun & Kristiansen, Tarjei & Ilic, Marija D., 2010. "The relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, vol. 32(5), pages 967-978, September.
  4. Murry, Donald & Zhu, Zhen, 2008. "Asymmetric price responses, market integration and market power: A study of the U.S. natural gas market," Energy Economics, Elsevier, vol. 30(3), pages 748-765, May.
  5. Marcus Stronzik & Margarethe Rammerstorfer & Anne Neumann, 2008. "Theory of Storage: An Empirical Assessment of the European Natural Gas Market," Discussion Papers of DIW Berlin 821, DIW Berlin, German Institute for Economic Research.
  6. Hobæk Haff, Ingrid & Lindqvist, Ola & Løland, Anders, 2008. "Risk premium in the UK natural gas forward market," Energy Economics, Elsevier, vol. 30(5), pages 2420-2440, September.
  7. Chevallier, Julien, 2009. "Modelling the convenience yield in carbon prices using daily and realized measures," Economics Papers from University Paris Dauphine 123456789/4608, Paris Dauphine University.
  8. Mirantes, Andrés García & Población, Javier & Serna, Gregorio, 2013. "The stochastic seasonal behavior of energy commodity convenience yields," Energy Economics, Elsevier, vol. 40(C), pages 155-166.
  9. Yepes Rodri­guez, Ramón, 2008. "Real option valuation of free destination in long-term liquefied natural gas supplies," Energy Economics, Elsevier, vol. 30(4), pages 1909-1932, July.
  10. Stronzik, Marcus & Rammerstorfer, Margarethe & Neumann, Anne, 2009. "Does the European natural gas market pass the competitive benchmark of the theory of storage? Indirect tests for three major trading points," Energy Policy, Elsevier, vol. 37(12), pages 5432-5439, December.

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