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Mangone, Gerard J. (contributor) - 1983

Persistent link: https://www.econbiz.de/10000327042

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016 - Revised: June, 2016

natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and … ICE (UK), as well as ETF data of natural gas companies from the stock markets in the USA and UK. The empirical results … show that there are significant spillover effects in natural gas spot, futures and ETF markets for both USA and UK. Such a …

Persistent link: https://www.econbiz.de/10011490999

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016 - Revised: June, 2016

Persistent link: https://www.econbiz.de/10011500276

Introducing distances between commodity markets : the case of the US and UK natural gas

Geman, Hélyette; Liu, Bo - In: Advanced modelling in mathematical finance : in honour …, (pp. 93-105). 2016

Persistent link: https://www.econbiz.de/10011800340

Natural gas pricing in competitive markets

Morgan, Trevor - 1998

Persistent link: https://www.econbiz.de/10014273871

Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter

Neumann, Anne; Siliverstovs, Boriss - 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...

Persistent link: https://www.econbiz.de/10010296793