We examine the volatility dynamics of NYMEX natural gas futures prices via the partially overlapping time‐series model of Smith (2005. Journal of Applied Econometrics, 20, 405–422). We show that volatility exhibits two important features: (1) volatility is greater in the winter than in the...

Despite their importance in pricing futures and other derivative contracts, seasonalvariations in mean and variance of energy prices have not been fully captured inprevious studies of energy prices. We examine the volatility dynamics of daily naturalgas futures traded on the NYMEX via the...

A recent increase in the level and volatility of regional gas prices has followed an extensive discussion on potential returns from short-term LNG trading and potentially fostering integration of geographically sparse regional gas markets. This paper examines the stochastic properties of US...

This paper contructs a stylized model of an LNG producer's decision on the level of committment to long-term supply arrangement. The model extends a conventional two-stage model of optimal hedging by accomodating two features commonly observed with LNG trading practice: (1) the forward price of...