Natural Gas markets:How Sensitive to Crude Oil Price Changes?
AbstractThis paper investigates sensitivity of U.S. natural gas price to crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels that can be utilized in pricing natural gas derivatives such as gas futures and option contracts, and gas storage facility contracts.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 14937.
Date of creation: 25 Apr 2009
Date of revision:
Natural gas; Sensitivity; GARCH; Volatility; Skewness; Kurtosis;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-09 (All new papers)
- NEP-ENE-2009-05-09 (Energy Economics)
- NEP-RMG-2009-05-09 (Risk Management)
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