Natural Gas markets:How Sensitive to Crude Oil Price Changes?
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.
|Date of creation:||25 Apr 2009|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 134-44, January.
- Robert F. Engle & Sharon Kozicki, 1990.
"Testing For Common Features,"
NBER Technical Working Papers
0091, National Bureau of Economic Research, Inc.
- 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.
- Jun Yu, 2002.
"Forecasting volatility in the New Zealand stock market,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 12(3), pages 193-202.
- Yu, Jun, 1999. "Forecasting Volatility in the New Zealand Stock Market," Working Papers 175, Department of Economics, The University of Auckland.
- Vahid, F & Engle, Robert F, 1993. "Common Trends and Common Cycles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(4), pages 341-60, Oct.-Dec..
- Frank Asche & Petter Osmundsen & Maria Sandsmark, 2006. "The UK Market for Natural Gas, Oil and Electricity: Are the Prices Decoupled?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 27-40.
- Stephen P. A. Brown & Mine K. Yucel, 2008.
"What Drives Natural Gas Prices?,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 2), pages 45-60.
- Sharpe, William F., 1967. "Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(02), pages 76-84, June.
- Robert W. Faff & David Hillier & Joseph Hillier, 2000. "Time Varying Beta Risk: An Analysis of Alternative Modelling Techniques," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(5&6), pages 523-554.
- Andrew J. Patton, 2002.
"On the out-of-sample importance of skewness and asymetric dependence for asset allocation,"
LSE Research Online Documents on Economics
24951, London School of Economics and Political Science, LSE Library.
- Andrew J. Patton, 2004. "On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(1), pages 130-168.
- Harvey, Campbell R. & Siddique, Akhtar, 1999. "Autoregressive Conditional Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 465-487, December.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:14937. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.