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Natural-gas futures: Bias, predictive performance, and the theory of storage

  • Modjtahedi, Bagher
  • Movassagh, Nahid
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    File URL: http://www.sciencedirect.com/science/article/B6V7G-4GH49VG-3/2/6653abfba3f1d93a089a59e3800ccf59
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    Article provided by Elsevier in its journal Energy Economics.

    Volume (Year): 27 (2005)
    Issue (Month): 4 (July)
    Pages: 617-637

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    Handle: RePEc:eee:eneeco:v:27:y:2005:i:4:p:617-637
    Contact details of provider: Web page: http://www.elsevier.com/locate/eneco

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    1. Williams, Jeffrey C., 2001. "Commodity futures and options," Handbook of Agricultural Economics, in: B. L. Gardner & G. C. Rausser (ed.), Handbook of Agricultural Economics, edition 1, volume 1, chapter 13, pages 745-816 Elsevier.
    2. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
    3. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
    4. Cumby, Robert E. & Modest, David M., 1987. "Testing for market timing ability : A framework for forecast evaluation," Journal of Financial Economics, Elsevier, vol. 19(1), pages 169-189, September.
    5. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    6. Nahid Movassagh & Bagher Modjtahedi, 2005. "Bias and backwardation in natural gas futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(3), pages 281-308, 03.
    7. Longstaff, Francis A & Wang, Ashley, 2002. "ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt3mw4q41x, Anderson Graduate School of Management, UCLA.
    8. W. David Walls, 1995. "An Econometric Analysis of the Market for Natural Gas Futures," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 71-84.
    9. Frans A. de Roon & Theo E. Nijman & Chris Veld, 2000. "Hedging Pressure Effects in Futures Markets," Journal of Finance, American Finance Association, vol. 55(3), pages 1437-1456, 06.
    10. French, Kenneth R, 1986. "Detecting Spot Price Forecasts in Futures Prices," The Journal of Business, University of Chicago Press, vol. 59(2), pages S39-54, April.
    11. Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
    12. Dusak, Katherine, 1973. "Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 81(6), pages 1387-1406, Nov.-Dec..
    13. Chang, Eric C, 1985. " Returns to Speculators and the Theory of Normal Backwardation," Journal of Finance, American Finance Association, vol. 40(1), pages 193-208, March.
    14. repec:cup:cbooks:9780521326162 is not listed on IDEAS
    15. Alex Maynard, 2003. "Testing for Forward-Rate Unbiasedness: On Regression in Levels and in Returns," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 313-327, May.
    16. Buchanan, W. K. & Hodges, P. & Theis, J., 2001. "Which way the natural gas price: an attempt to predict the direction of natural gas spot price movements using trader positions," Energy Economics, Elsevier, vol. 23(3), pages 279-293, May.
    17. Bryan Routledge & Duane Seppi & Chester Spatt, . "Equilibrium Forward Curves for Commodities," GSIA Working Papers 1997-50, Carnegie Mellon University, Tepper School of Business.
    18. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
    19. Ng, Victor K. & Pirrong, Stephen Craig, 1996. "Price dynamics in refined petroleum spot and futures markets," Journal of Empirical Finance, Elsevier, vol. 2(4), pages 359-388, February.
    20. Longstaff, Francis & Wang, Ashley, 2002. "Electricity Forward Prices: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7mh2m2bt, Anderson Graduate School of Management, UCLA.
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