Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
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Keywordsnatural gas prices; forward markets; GARCH; structural VAR;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-09-02 (All new papers)
- NEP-ENE-2007-09-02 (Energy Economics)
- NEP-RMG-2007-09-02 (Risk Management)
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