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

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.

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Year of publication:	2009-04-25
Authors:	Onour, Ibrahim
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Natural gas \| Sensitivity \| GARCH \| Volatility \| Skewness \| Kurtosis

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C22 - Time-Series Models ; C01 - Econometrics
Source:	RePEc - Research Papers in Economics