This paper examines the integration between the prices of different types of physical (upstream/end-use) and futures contracts of natural gas in the US for the period of June 1990-Dec 2014. To examine the equilibrium relationship between physical and futures prices, several cointegration tests,...

We present an equilibrium model of the prices of crude oil and refined products that accounts for supply and demand shocks, the elasticity of the supply and demand markets, and the characteristics of the production and adjustment costs of refiners. We use the model to examine the relation...

We examine the incremental power of a large set of key fundamental, financial, and macroeconomic variables for forecasting the volatility of natural gas futures prices. Among other results, we find that the option implied volatility (IV) significantly improves the performance of predictions...

This paper tests the integration property of US natural gas consumption at the sector level and finds a heterogenous behavior. Residential, commercial, and power consumption are stationary. However, even after allowing for endogenous structural breaks, tests fail to reject unit-root in the...