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International market integration for natural gas? : a cointegration analysis of gas prices in Europe, North America and Japan

L'Hégaret, Guillaume; Siliverstovs, Boriss; Neumann, Anne - 2003

2002. The relationship between the international gas marker prices, and their relation to the oil price, are investigated …

Persistent link: https://www.econbiz.de/10011439628

Linking natural gas markets : is LNG doing its job?

Neumann, Anne - In: The energy journal 30 (2009) 5, pp. 187-200

Persistent link: https://www.econbiz.de/10003843302

Stationarity changes in long-run fossil resource prices : evidence from persistence break testing

Zaklan, Aleksandar; Abrell, Jan; Neumann, Anne - 2011

This paper considers the question of whether changes in persistence have occurred during the long-run evolution of U.S. prices of the non-renewable energy resources crude oil, natural gas and bituminous coal. Our main contribution is to allow for a structural break when testing for a break in...

Persistent link: https://www.econbiz.de/10009579658

The globalization of steam coal markets and the role of logistics : an empirical analysis

Zaklan, Aleksandar; Cullmann, Astrid; Neumann, Anne; … - 2009

weekly frequency. We then test whether the demand and supply side components of steam coal trade are consistently integrated … short-term dynamics of individual markets. Furthermore, we examine whether logistics enter coal price dynamics through …

Persistent link: https://www.econbiz.de/10003908306

Convergence of European spot market prices for natural gas? : A real-time analysis of market integration using the Kalman filter

Neumann, Anne; Siliverstovs, Boriss; Hirschhausen, … - In: Applied economics letters 13 (2006) 11, pp. 727-732

Persistent link: https://www.econbiz.de/10003377819

International market integration for natural gas? : A cointegration analysis of prices in Europe, North America and Japan

Siliverstovs, Boriss; L'Hégaret, Guillaume; Neumann, Anne - In: Energy economics 27 (2005) 4, pp. 603-615

Persistent link: https://www.econbiz.de/10003007119

Convergence of European spot market prices for natural gas? : A real-time analysis of market integration using the Kalman filter

Neumann, Anne (contributor); … - 2005

This paper provides a textbook example of integration between commodity markets, and the subsequent price convergence … or absence thereof. We analyze price relations between spot markets for natural gas in Europe. We apply time …-varying coefficient estimation applying the Kalman filter, to test whether price convergence between different locations is really taking …