𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Risk premium in the UK natural gas forward market

✍ Scribed by Ingrid Hobæk Haff; Ola Lindqvist; Anders Løland


Book ID
108120923
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
842 KB
Volume
30
Category
Article
ISSN
0140-9883

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Variance risk premiums and predictive po
✍ Zhiguang Wang; Scott W. Fausti; Bashir A. Qasmi 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 185 KB

## Abstract We propose a fear index for corn using the variance swap rate synthesized from out‐of‐the‐money call and put options as a measure of implied variance. We find negative and time‐varying variance risk premiums (realized variance minus implied variance) in the corn market from 1987 to 2009

Risk premia in the futures and forward m
✍ Rick Cooper 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 780 KB

## Introduction wo of the major paradigms of portfolio theory are the one-period Capital Asset T Pricing Model (CAPM) and the intertemporal Consumption Capital Asset Pricing Model (CCAPM). Each has encountered empirical problems. The CAPM fails to explain many well-documented anomalies (e.g., the

Risk premiums on inventory assets: the c
✍ Timothy J. Considine; Donald F. Larson 📂 Article 📅 2001 🏛 John Wiley and Sons 🌐 English ⚖ 161 KB 👁 1 views

This study tested for the presence of risk premiums on crude oil and natural gas. The econometric analysis followed from a stochastic model in which the equilibrium value of inventories depends on a convenience yield and an option value related to price uncertainty. The empirical findings provide ra

Examining market power in the European n
✍ Rudolf G. Egging; Steven A. Gabriel 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 867 KB

In this paper, we develop a mixed complementarity equilibrium model for the European natural gas market. This model has producers as Cournot players with conjectured supply functions relative to their rivals. As such, these producers can withhold production to increase downstream prices for greater