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Extreme Weather Forecasts Impact on U.S. Natural Gas Futures Prices : Market Efficiency and Risk Premia Implications
Arcuri, Maria Cristina; Monteux, Manou; Gandolfi, Gino; … - 2023
market forces. We identify a novel and material “extreme weather forecast” risk premium which outperforms the S&P500 on both …We test the efficiency of the U.S. Natural Gas futures market against both observed and forecasted weather information ….We then elaborate the expectation that the risk linked to the uncertainty intrinsic to weather forecasts will be rewarded by …
Persistent link: https://www.econbiz.de/10014255983
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Natural gas volatility prediction : fresh evidence from extreme weather and extended GARCH-MIDAS-ES model
Liang, Chao; Xia, Zhenglan; Lai, Xiaodong; Wang, Lu - In: Energy economics 116 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013542113
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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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European Natural Gas Seasonal Effects on Futures Hedging
Martínez, Beatriz - 2015
due to weather, demand, and storage level seasonalities. This paper follows and extends the Ederington and Salas (2008 …
Persistent link: https://www.econbiz.de/10013028042
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Forecasting volatilities of oil and gas assets : a comparison of GAS, GARCH, and EGARCH models
Xu, Yingying; Lien, Da-hsiang Donald - In: Journal of forecasting 41 (2022) 2, pp. 259-278
Persistent link: https://www.econbiz.de/10012817733
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Energy forecasting : focus: natural gas : dissertation
Greitzer, Maria - 2021
Persistent link: https://www.econbiz.de/10013270072
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Natural gas price, market fundamentals and hedging effectiveness
Song Zan Chiou Wei; Chen, Sheng-Hung; Zhu, Zhen - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 321-337
Persistent link: https://www.econbiz.de/10012431299
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Modeling and forecasting the volatility of gas futures prices
Aiube, Fernando Antônio Lucena; Samanez, Carlos P.; … - In: Revista Brasileira de Finanças : RBFin 15 (2017) 4, pp. 511-535
Persistent link: https://www.econbiz.de/10012000207
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Predicting natural gas futures' volatility using climate risks
Guo, Kun; Liu, Fengqi; Sun, Xiaolei; Zhang, Dayong; Ji, … - In: Finance research letters 55 (2023) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10014473296
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Natural gas storage forecasts : is the crowd wiser?
Fernandez-Perez, Adrian; Garel, Alexandre; Indriawan, Ivan - In: The energy journal 41 (2020) 5, pp. 1-26
Persistent link: https://www.econbiz.de/10012546909