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Residual shape risk on Czech natural gas market
Janda, Karel; Kourilek, Jakub - 2018
This paper introduces residual shape risk as a new subclass of energy commodity risk. Residual shape risk is caused by … position which has to be closed at spot market. The residual shape risk is defined as a difference between spot and forward … energy supplier. For empirical evaluation of residual shape risk we use a real portfolio of a leading natural gas retail …
Persistent link: https://www.econbiz.de/10012063478
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Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
Aloui, Riadh; Aïssa, Mohamed Safouane Ben; Hammoudeh, … - Institut de Préparation à l'Administration et à la … - 2014
dependence structure between the crude oil and natural gas markets as well as to derive implications for port- folio risk … leads to an improvement in the accuracy of the out-of-sample Value-at-Risk forecasts. …
Persistent link: https://www.econbiz.de/10010929408
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Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
Aloui, Riadh; Aïssa, Mohamed Safouane Ben; Hammoudeh, … - In: Energy Economics 42 (2014) C, pp. 332-342
dependence structure between the crude oil and natural gas markets as well as to derive implications for portfolio risk … improvement in the accuracy of the out-of-sample Value-at-Risk forecasts. …
Persistent link: https://www.econbiz.de/10011039677
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Residual shape risk on natural gas market with mixed jump diffusion price dynamics
Janda, Karel; Kourilek, Jakub - In: Energy economics 85 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012510065
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Global natural gas market integration in the face of shocks : evidence from the dynamics of European, Asian, and US gas futures prices
Farag, Markos; Jeddi, Samir; Kopp, Jan Hendrik - 2023
This paper analyzes the integration of the American, European, and Asian natural gas markets over the period 2016-2022, with a focus on how the demand shock caused by the COVID-19 pandemic and the supply shock caused by geopolitical tensions in the European market affected this integration. We...
Persistent link: https://www.econbiz.de/10014327618
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UK natural gas : gas-specific or oil driven pricing?
Asche, Frank; Oglend, Atle; Osmundsen, Petter - 2013
In this paper we investigate the time-varying relationship between oil and natural gas in the UK. We develop a model where relative prices can move between pricing-regimes; markets switch between being decoupled and integrated. Our model endogenously accounts for periods where oil and natural...
Persistent link: https://www.econbiz.de/10010212645
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Price formation and intertemporal arbitrage within a low-liquidity framework : empirical evidence from European natural gas markets
Nick, Sebastian - 2013
In this study, the informational efficiency of the European natural gas market is analyzed by empirically investigating price formation and arbitrage efficiency between spot and futures markets. Econometric approaches are specified that explicitly account for nonlinearities and the low...
Persistent link: https://www.econbiz.de/10010190788
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The law of one price in global natural gas markets : a threshold cointegration analysis
Nick, Sebastian; Tischler, Benjamin - 2014
The US and UK markets for natural gas are connected by arbitrage activity in the form of shifting trade volumes of liquefied natural gas (LNG). We empirically investigate the degree of integration between the US and the UK gas markets by using a threshold cointegration approach that is in...
Persistent link: https://www.econbiz.de/10010489124
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Government-led urbanization and natural gas demand in China
Cai, Zhengyu; Yu, Chin-Hsien; Zhu, Chunhui - 2021
The Chinese government is actively promoting urbanization to stimulate its economic growth while facing increasingly prominent environmental concerns. The main objective of this research is to assess whether the Chinese government is making efforts to promote cleaner energy demand while pushing...
Persistent link: https://www.econbiz.de/10012494143
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Principles of gas pricing and their impact on the market for gas cars in Germany
Seeliger, Andreas - 2013
As for any other fuels used for transport or heating, the gas price for final users could be split into three major components: the wholesale price for the resource (including far distance transport by ship or pipeline), taxes and finally a assorted group of mainly smaller price drivers (such as...
Persistent link: https://www.econbiz.de/10011715415