a threshold cointegration approach that is in accordance with the law of one price and explicitly accounts for … significant regional price arbitrage. However, high threshold estimates in the latter period indicate impediments to arbitrage …

price formation and arbitrage efficiency between spot and futures markets. Econometric approaches are specified that … that price discovery takes place on the futures market, while the spot price subsequently follows the futures market price …

The present paper studies the effect of an upward correction of the natural gas price on the Russian domestic market … liberalize the regulated domestic market price and decrease subsidies for natural gas products. This is claimed to fit in a … policy promoting energy efficiency, increasing investments in natural gas production and bringing the natural gas price on …

, conventional linear models of price dynamics such as the Vector Error Correction Model (VECM) can lead to erroneous inferences … about cointegration relationships, price adjustments and relative values. We propose the use of regime-switching models to … address these issues. Our regime switching model uses price data to infer whether pricing is oil-driven (integrated) or gas …

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

pairwise, relative and σ–convergence. We show that there is evidence of pairwise price convergence and that some key … of price–growth convergence, while price–level convergence is not supported by the data. Lastly, we assess the short …-run implications of price convergence focusing on the speed of reversion to equilibrium after a system–wide shocks hits the …

in the trend (and in the intercept) on the integrated gas price time series, by the time shale gas enters the market …