Emery, Gary W.; Qingfeng (Wilson) Liu - In: Journal of Futures Markets 22 (2002) 2, pp. 95-122
This article analyzes the relationship between electricity futures prices and natural‐gas futures prices. We find that the daily settlement prices of New York Mercantile Exchange's (NYMEX's) California–Oregon Border (COB) and Palo Verde (PV) electricity futures contracts are cointegrated...