Natural Gas markets:How Sensitive to Crude Oil Price Changes?

Onour, Ibrahim (2009): Natural Gas markets:How Sensitive to Crude Oil Price Changes?

Abstract

This paper investigates sensitivity of U.S. natural gas price to 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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Natural gas, Sensitivity, GARCH, Volatility, Skewness, Kurtosis
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics

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