کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7358288 | 1478598 | 2018 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The nexus between natural gas spot and futures prices at NYMEX: Do weather shocks and non-linear causality in low frequencies matter?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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![عکس صفحه اول مقاله: The nexus between natural gas spot and futures prices at NYMEX: Do weather shocks and non-linear causality in low frequencies matter? The nexus between natural gas spot and futures prices at NYMEX: Do weather shocks and non-linear causality in low frequencies matter?](/preview/png/7358288.png)
چکیده انگلیسی
The existence of non-linear dynamics in the prices of commodities is an endemic feature and one of the most fundamental stylized facts in the finance literature. This study, conditioning on weather shocks, investigates the nature of the existing predictive power between natural gas spot and futures prices at the NYMEX market. By implementing a causality test in the frequency domain, we find that the short maturity futures market offers a significant predictive power towards the spot market. The identified predictive power over the frequency band proves to be asymmetric with respect to the first- and the second-conditional moments of the series. In particular, our results show that for high frequencies (short-run) predictability is linked to the first-conditional moment while, for low frequencies (long-run) predictability is attributed to the second-conditional moment.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Journal of Economic Asymmetries - Volume 18, November 2018, e00100
Journal: The Journal of Economic Asymmetries - Volume 18, November 2018, e00100
نویسندگان
Theologos Dergiades, Reinhard Madlener, Georgia Christofidou,