Natural Gas Markets: How Sensitive are they to Crude Oil Price Changes?
OPEC Energy Review, June 2009
14 Pages Posted: 13 Nov 2012
Date Written: November 12, 2012
Abstract
This paper investigates sensitivity of US natural gas price with crude oil price changes, using time varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels that can be utilized in pricing natural gas derivatives such as gas futures and option contracts, and gas storage facility contracts.
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
-
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula
-
Estimation of Copula Models for Time Series of Possibly Different Lengths
-
By Teng-suan Ho, Richard C. Stapleton, ...
-
A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk
-
A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk