Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?
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- Balke, Nathan S & Fomby, Thomas B, 1997.
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
- Balke, Nathan S. & Fomby, Thomas B., 1992. "Threshold cointegration," Working Papers 9209, Federal Reserve Bank of Dallas.
- 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.
- Martin Martens & Paul Kofman & Ton C. F. Vorst, 1998. "A threshold error-correction model for intraday futures and index returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 245-263.
- Martens, M. & Kofman, P. & Vorst, T.C.F., 1995. "A Threshold Error Correction Model for Intraday Futures and Index Returns," Monash Econometrics and Business Statistics Working Papers 14/95, Monash University, Department of Econometrics and Business Statistics.
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- Maurice Obstfeld and Alan M. Taylor., 1997. "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited," Center for International and Development Economics Research (CIDER) Working Papers C97-088, University of California at Berkeley.
- Obstfeld, Maurice & Taylor, Alan M., 1997. "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited," Center for International and Development Economics Research (CIDER) Working Papers 233607, University of California-Berkeley, Department of Economics.
- Maurice Obstfeld & Alan M. Taylor, 1997. "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited," NBER Working Papers 6053, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Taylor, Alan M., 1997. "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited," CEPR Discussion Papers 1672, C.E.P.R. Discussion Papers.
- Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-484, November.
- O'Connell, P. G. J., 1998. "Market frictions and real exchange rates1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 71-95, February.
- Mine K. Vücel & Shengyi Guo, 1994. "Fuel Taxes And Cointegration Of Energy Prices," Contemporary Economic Policy, Western Economic Association International, vol. 12(3), pages 33-41, 07.
- Emile J. Brinkmann & Ramon Rabinovitch, 1995. "Regional Limitations on the Hedging Effectiveness of Natural Gas Futures," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 113-124.
- De Vany, A. & Walls, W.D., 1994. "The Law of One Price in a Network: Arbitrage and Price Dynamics in Natural Gas City Gate Markets," Papers 93-94-17, California Irvine - School of Social Sciences.
- Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September.
- Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 23-42, March. Full references (including those not matched with items on IDEAS)
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