Bjursell, Johan; Gentle, James E.; Wang, George H.K. - In: Energy Economics 48 (2015) C, pp. 336-349
This paper applies nonparametric methods to identify jumps in daily futures prices and intraday jumps surrounding inventory announcements of crude oil, heating oil and natural gas contracts traded on the New York Mercantile Exchange. The sample period of our intraday data covers January 1990 to...