Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets
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More about this item
Keywordsnatural gas market; informational efficiency; liquidity; nonlinear causality; threshold error correction; Kalman filter;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
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