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Natural Gas markets:How Sensitive to Crude Oil Price Changes?

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Author Info
Onour, Ibrahim

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Abstract

This 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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File URL: http://mpra.ub.uni-muenchen.de/14937/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14937.

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Date of creation: 25 Apr 2009
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Handle: RePEc:pra:mprapa:14937

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Related research
Keywords: 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
C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

This paper has been announced in the following NEP Reports:

References listed on IDEAS
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  1. Serletis, Apostolos & Rangel-Ruiz, Ricardo, 2004. "Testing for common features in North American energy markets," Energy Economics, Elsevier, vol. 26(3), pages 401-414, May. [Downloadable!] (restricted)
  2. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
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  3. Farshid Vahid & Robert F. Engle, 1992. "Common Trends and Common Cycles," University of California at San Diego, Economics Working Paper Series 92-04, Department of Economics, UC San Diego.
    Other versions:
  4. Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Oxford University Press, vol. 2(1), pages 130-168. [Downloadable!] (restricted)
  5. Robert W. Faff & David Hillier & Joseph Hillier, 2000. "Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 27(5&6), pages 523-554. [Downloadable!] (restricted)
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This page was last updated on 2009-12-1.

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