This paper assesses how market fundamentals affect asset return volatility by drawing on evidence from the U.S. natural gas futures market. One of the novel features of this paper is the use of the deviation of temperatures from normal (weather surprise) as a proxy for demand shocks and a determinant of the conditional volatility of natural gas futures returns. I estimate a GARCH model using da...

Recent advances in modeling causal flows with time series analysis are used to study relationships among eight North American natural gas spot market prices. Results indicate that the Canadian and US natural gas market is a single highly integrated market. Further results indicate that price discovery tends to reflect both regions of excess demand and supply. Across North America, Malin Hub in ...

With the further development of new types industrialization and urbanization in China, environmental deterioration energy safety problems have been increasingly prominent. As a clean, efficient high-quality source, natural gas has ushered unprecedented opportunities. In recent decades, consumption kept high-speed growth but its proportion structure still long way to go reach international avera...

Bu çal??ma, ba??ms?z bir do?algaz fiyat?n?n varl???n? ara?t?rmaktad?r. ?nceleme konusu olarak Avrupa pazarlar? ele al?nm??t?r. Do?al gaz petrol fiyat?ndan ayr??mas?n?n varl??? incelenmi?, do?al fiyat? Almanya Federal ?hracat Kontrol Ofisi (BAFA) taraf?ndan aç?klanan ayl?k ortalama s?n?r giri? fiyat?, ise Brent petrolü kullan?lm??t?r. Serilerin e?bütünle?ikli?i S?n?r Testi ile k?sa ve uzun dönem...

The valuation of the real option to store liquefied natural gas (LNG) at the downstream terminal of an LNG value chain is an important problem in practice. As the exact valuation of this real option is computationally intractable, we develop a novel and tractable heuristic model for its strategic valuation that integrates models of LNG shipping, natural gas price evolution, and inventory contro...

The valuation of the real option to store liquefied natural gas (LNG) at the downstream terminal of an LNG value chain is an important problem in practice. As the exact valuation of this real option is computationally intractable, we develop a novel and tractable heuristic model for its strategic valuation that integrates models of LNG shipping, natural gas price evolution, and inventory contro...

In natural gas markets, demand exhibits low price elasticity, while supply follows the market price; a phenomenon typically observed in markets for indispensable goods. A significant portion of gas consumption is due to heating and increasingly power generation, which sets a typical demand pattern: high in winter and summer ('high' seasons) and low in shoulder months ('low' seasons). Thus, the ...

Electricity industries worldwide have been restructured in order to introduce competition.As a result, decisionmakers are exposed to volatile electricity prices, which are positively correlated with those of natural gas in markets with price-setting gas-fired power plants. Consequently, gas-fired plants are said to enjoy a “natural hedge.” We explore the properties of such a built-in hedge for ...