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Jump processes in natural gas markets
Mason, Charles F.; Wilmot, Neil - 2014
Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...
Persistent link: https://www.econbiz.de/10010235818
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Jump processes in natural gas markets
Mason, Charles F.; Wilmot, Neil A. - In: Energy economics 46 (2014), pp. 69-79
Persistent link: https://www.econbiz.de/10011299350
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Jump Processes in Natural Gas Markets
Mason, Charles F. - 2014
Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...
Persistent link: https://www.econbiz.de/10013058515
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Bayesian SVLEDEJ model for detecting jumps in logarithmic growth rates of one month forward gas contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 8 (2016) 3, pp. 161-179
Persistent link: https://www.econbiz.de/10011634897
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Forecasting natural gas prices using highly flexible time-varying parameter models
Gao, Shen; Hou, Chenghan; Bao Hoang Nguyen - In: Economic modelling 105 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013367152
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A multistage stochastic programming approach for preventive maintenance scheduling of GENCOs with natural gas contract
Huang, Zhouchun; Zheng, Qipeng P. - In: European journal of operational research : EJOR 287 (2020) 3, pp. 1036-1051
Persistent link: https://www.econbiz.de/10012294004
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Stochastic modeling of natural gas infrastructure development in Europe under demand uncertainty
Fodstad, Marte; Egging, Ruud; Midthun, Kjetil; … - In: The energy journal 37 (2016), pp. 5-32
Persistent link: https://www.econbiz.de/10011596425
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An integrated market for electricity and natural gas systems with stochastic power producers
Ordoudis, Christos; Pinson, Pierre; Morales, Juan M. - In: European journal of operational research : EJOR 272 (2019) 2, pp. 642-654
Persistent link: https://www.econbiz.de/10011942311
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The stochastic seasonal behaviour of natural gas prices
García Mirantes, Andrés; Población, Javier; Serna, … - In: European financial management : the journal of the … 18 (2012) 3, pp. 410-443
Persistent link: https://www.econbiz.de/10009672258
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Modeling energy price dynamics : GARCH versus stochastic volatility
Chan, Joshua; Grant, Angelia L. - In: Energy economics 54 (2016), pp. 182-189
Persistent link: https://www.econbiz.de/10011662805