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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

Gas Storage and Security of Supply in the Medium Run

Creti, Anna; Villeneuve, Bertrand; Chaton, Corinne - 2015

This paper analyzes the role of storage for economies facing the risk of a gas supply disruption. We characterize the optimal/competitive transitory dynamics (accumulation, drainage and target stock). We partially relax the irreversibility hypothesis, by extending the model in two directions:...

Persistent link: https://www.econbiz.de/10014222555

Gas Storage Valuation : A Comparative Simulation Study

Felix, Bastian - 2014

The purpose of this paper is the comparative analysis of four natural gas storage valuation approaches. In competitive natural gas markets the optimal valuation and operation of natural gas storages is a key task for natural gas companies operating storages. Within this paper, four spot based...

Persistent link: https://www.econbiz.de/10014040622

Stacking Low Carbon Policies on the Renewable Fuels Standard : Economic and Greenhouse Gas Implications

Huang, Haixiao; Khanna, Madhu; Onal, Hayri; Chen, Xiaoguang - 2015

primarily induces fuel conservation and achieves larger GHG emissions reduction compared to the other policy scenarios. All of …

Persistent link: https://www.econbiz.de/10014173408

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

How proper measurement of low carbon hydrogen’s carbon intensity can reduce regulatory risk

Barnes, Alex - 2024

Low carbon hydrogen (whether based on renewable or nuclear electricity, or fossil fuels with carbon capture) is a means to decarbonise sectors of the economy which are hard to electrify. Its business model is heavily dependent on government intervention (e.g. mandatory targets, subsidies,...