Commodity convenience yield and risk premium determination: The case of the U.S. natural gas market
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Bibliographic InfoArticle provided by Elsevier in its journal Energy Economics.
Volume (Year): 28 (2006)
Issue (Month): 4 (July)
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Web page: http://www.elsevier.com/locate/eneco
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chambers, Marcus J & Bailey, Roy E, 1996.
"A Theory of Commodity Price Fluctuations,"
Journal of Political Economy,
University of Chicago Press, vol. 104(5), pages 924-57, October.
- 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.
- Nikolaos Milonas & Thomas Henker, 2001. "Price spread and convenience yield behaviour in the international oil market," Applied Financial Economics, Taylor and Francis Journals, vol. 11(1), pages 23-36.
- 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.
- Kuper, Gerard H., 2012. "Inventories and upstream gasoline price dynamics," Energy Economics, Elsevier, vol. 34(1), pages 208-214.
- 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.
- 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.
- Julien Chevallier, 2010. "Modelling the convenience yield in carbon prices using daily and realized measures," Working Papers halshs-00463921, HAL.
- 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.
- 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.
- 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.
- 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.
- 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.
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