We test the efficiency of the U.S. Natural Gas futures market against both observed and forecasted weather information from across the U.S., and show that the NG futures market incorporates complex meteorological information. We show that U.S. Natural Gas futures are affected by forecasted...

In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...