✦ LIBER ✦

Volatility, storage and convenience: Evidence from natural gas markets

✍ Scribed by Susmel, Raul; Thompson, Andrew

Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 376 KB
Volume: 17
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199702)17:1<17::aid-fut2>3.0.co;2-j

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Natural gas prices and the gas storage r

Natural gas prices and the gas storage report: Public news and volatility in energy futures markets

✍ Scott C. Linn; Zhen Zhu 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 259 KB 👁 2 views

## Abstract This study examines the short‐term volatility of natural gas prices through an examination of the intraday prices of the nearby natural gas futures contract traded on the New York Mercantile Exchange. The influence on volatility of what many regard as a key element of the information se

Modeling sudden volatility changes: Evid

Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets

✍ Sang Hoon Kang; Hwan-Gue Cho; Seong-Min Yoon 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 545 KB

In this study, we have investigated sudden changes in volatility and re-examined the persistence of volatility in Japanese and Korean stock markets during 1986-2008. Using the iterated cumulative sums of squares (ICSS) algorithm, we have determined that the identification of sudden changes is genera

Derivatives trading, volatility spillove

Derivatives trading, volatility spillover, and regulation: Evidence from the Korean securities markets

✍ Sung C. Bae; Taek Ho Kwon; Jong Won Park 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 234 KB

## Abstract Unlike the U.S. and Japanese securities markets, we find new evidence of volatility spillover between index stocks and non‐index stocks following the introductions of index derivatives trading in the Korean securities markets. We further find that the degree of volatility spillover is c

The predictive value of temporally disag

The predictive value of temporally disaggregated volatility: evidence from index futures markets

✍ Nicholas Taylor 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 300 KB 👁 1 views

## Abstract This paper examines the benefits to forecasters of decomposing close‐to‐close return volatility into close‐to‐open (nighttime) and open‐to‐close (daytime) return volatility. Specifically, we consider whether close‐to‐close volatility forecasts based on the former type of (temporally agg

The stochastic volatility in mean model:

The stochastic volatility in mean model: empirical evidence from international stock markets

✍ Professor Siem Jan Koopman; Eugenie Hol Uspensky 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB 👁 2 views

## Abstract In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extens

Analyst forecasts and price discovery in

Analyst forecasts and price discovery in futures markets: The case of natural gas storage

✍ Gerald D. Gay; Betty J. Simkins; Marian Turac 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 182 KB 👁 2 views

## Abstract We investigate analyst forecasts in a unique setting, the natural gas storage market, and study the contribution of analysts in facilitating price discovery in futures markets. Using a high‐frequency database of analyst storage forecasts, we show that the market appears to condition exp