Cointegration and ARDL Specification Between the Dubai Crude Oil and the US Natural Gas Market

2020 ◽  
Author(s):  
Stavros Stavroyiannis
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Natural Gas Market ◽  
The Us ◽  
Gas Market

Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach

2020 ◽  
Vol 87 ◽  
pp. 104740 ◽  
Author(s):  
Yan Li ◽  
Julien Chevallier ◽  
Yigang Wei ◽  
Jing Li
Keyword(s):  
Natural Gas ◽  
Natural Gas Market ◽  
Price Bubbles ◽  
The Us ◽  
Gas Market

scholarly journals Price Volatility in the Natural Gas Market

2017 ◽  
Vol 4 (2) ◽  
pp. 49
Author(s):  
Duong Thuy Le
Keyword(s):  
Natural Gas ◽  
Price Volatility ◽  
Type Model ◽  
Natural Gas Market ◽  
The Us ◽  
Natural Gas Prices ◽  
Day Of The Week ◽  
Gas Market ◽  
Positive Shock ◽  
And Behavior

This paper examines the causes and behavior of price volatility in the US natural gas market. Although natural gas prices are among the most volatile, they have received limited academic scrutiny heretofore. The study’s main findings are: (1) the natural gas market is characterized by volatility persistence, (2) predicted volatility increases more following a positive shock than an equal negative shock, (3) there are day-of-the-week and month-of-the-year patterns in this market, (4) surprises in the change in natural gas in storage cause increased volatility, (5) volatility tends to be higher during and immediately after bid week, and (6) volatility tends to be higher on winter days when the temperature is lower than normal. The model developed and employed in this research is an improved procedure for testing and quantifying the hypothesized volatility determinants within a GARCH type model.

scholarly journals Optimal Hedging Strategies for Natural Gas

2020 ◽  
Vol 12 (8) ◽  
pp. 1
Author(s):  
Changfeng Zhou ◽  
Huan Cai
Keyword(s):  
Natural Gas ◽  
Crude Oil ◽  
Financial Risk ◽  
Natural Gas Market ◽  
Hedging Strategies ◽  
Hedging Effectiveness ◽  
Hedge Ratios ◽  
Asset Portfolio ◽  
Gas Market ◽  
Optimal Hedge

This study examines the optimal hedge performance between natural gas market and crude oil, ECO, gold and US-bonds markets. To calculate optimal hedge ratios and hedging effectiveness, we apply several multivariate volatility models, namely CCC, DCC, cDCC and bayesDCC. The empirical results show that crude oil is the best asset to hedge natural gas followed by gold and ECO. This is a new result relative to the existing literature on natural gas prices. Additionally, we find that the bayesDCC model has the best performance on optimal hedge ratios (OHRs) calculation in terms of hedging effectiveness. Our findings will hold important financial risk management implications and asset portfolio for those invest in natural gas market.

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