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A recent increase in the level and volatility of regional gas prices has followed an extensive discussion on potential returns from short-term LNG trading and potentially fostering integration of geographically sparse regional gas markets. This paper examines the stochastic properties of US...
Persistent link: https://www.econbiz.de/10009434927
This paper contructs a stylized model of an LNG producer's decision on the level of committment to long-term supply arrangement. The model extends a conventional two-stage model of optimal hedging by accomodating two features commonly observed with LNG trading practice: (1) the forward price of...
Persistent link: https://www.econbiz.de/10009434928
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This study examines bias in a term-structure model of commodity prices in specifying the true stochastic dynamics of underlying spot price. The bias is quantified by comparing the model estimated by the conventional method of estimating all model parameters simultaneously with a panel of futures...
Persistent link: https://www.econbiz.de/10010751842
We examine the volatility dynamics of NYMEX natural gas futures prices via the partially overlapping time‐series model of Smith (2005. Journal of Applied Econometrics, 20, 405–422). We show that volatility exhibits two important features: (1) volatility is greater in the winter than in the...
Persistent link: https://www.econbiz.de/10011197928
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This study compares two approaches to modeling a term structure of commodity prices. The first approach specifies the stochastic process of the underlying spot price and derives from the stipulated spot price dynamics valuation formulas of futures and other derivative contracts through no...
Persistent link: https://www.econbiz.de/10010976269
Using a Fourier flexible form cost function methodology, technical progress is estimated for a large sample of European savings banks between 1989 and 1997. On average, technical progress has reduced savings banks total costs by around 3.4% per annum. Since the European savings banks industry is...
Persistent link: https://www.econbiz.de/10005505639
This research examines the responsiveness of the demand for marijuana to changes in its money price and criminal status using data on individuals from the Australian National Drug Strategy's Household Surveys (NDSHS). The results suggest that both the prevalence of marijuana use and the...
Persistent link: https://www.econbiz.de/10005440594