Price Formation and Intertemporal Arbitrage within a Low-Liquidity Framework: Empirical Evidence from European Natural Gas Markets
Year of publication: |
2013-08-12
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Authors: | Nick, Sebastian |
Institutions: | Energiewirtschaftliches Institut (EWI), Universität zu Köln |
Subject: | natural gas market | informational efficiency | liquidity | nonlinear causality | threshold error correction | Kalman filter |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series EWI Working Papers Number 2013-14 33 pages |
Classification: | c58 ; G14 - Information and Market Efficiency; Event Studies ; Q40 - Energy. General ; Q41 - Demand and Supply |
Source: |
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Nick, Sebastian, (2013)
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