Parameter variation and the components of natural gas price volatility
Year of publication: |
2019
|
---|---|
Authors: | Brigida, Matthew |
Published in: |
The journal of energy markets. - London : Infopro Digital, ISSN 1756-3607, ZDB-ID 2428804-4. - Vol. 12.2019, 1, p. 1-17
|
Subject: | state-space models | conditional heteroscedasticity | natural gas markets | time series | futures | hedging | Zeitreihenanalyse | Time series analysis | Erdgasmarkt | Natural gas market | Volatilität | Volatility | ARCH-Modell | ARCH model | Hedging | Erdgas | Natural gas | Preis | Price |
-
Modeling and forecasting the volatility of gas futures prices
Aiube, Fernando Antônio Lucena, (2017)
-
Natural gas price, market fundamentals and hedging effectiveness
Song Zan Chiou Wei, (2020)
-
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano, (2019)
- More ...
-
Sources of target stock price run-up prior to acquisitions
Brigida, Matthew, (2012)
-
The switching relationship between natural gas and crude oil prices
Brigida, Matthew, (2014)
-
Brigida, Matthew, (2018)
- More ...