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Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in...
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. We use this model to also calculate conditional natural gas volatility and the proportion of volatility attributable to … each factor. We find that return volatility is higher in the winter, and this increase is attributable to increases in the … proportion of volatility due to weather and natural gas storage. We provide time series estimates of the changing proportion of …
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