Arbeitspapier
Jump Processes in Natural Gas Markets
Natural gas is likely to become increasingly important in the future. Understanding the stochastic underpinnings of natural gas prices will be critical, both to policy analysts and to market participants. To this end, we investigate the potential presence of jumps in natural gas spot prices in the U. S. and in the U. K. We find compelling empirical evidence for the importance of jumps in both markets, though jumps appear to appear more frequently in the U. K. Some of the difference between the U.S. and U.K. jump probabilities may be due to oil prices, other factors play a role.
- Language
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Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 4604
- Classification
-
Wirtschaft
Energy: Demand and Supply; Prices
Financial Forecasting and Simulation
- Subject
-
natural gas prices
jump diffusion
GARCH
- Event
-
Geistige Schöpfung
- (who)
-
Mason, Charles F.
Wilmot, Neil
- Event
-
Veröffentlichung
- (who)
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Center for Economic Studies and ifo Institute (CESifo)
- (where)
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Munich
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Mason, Charles F.
- Wilmot, Neil
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2014
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On maximal inequalities for some jump processes
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Jumps and uncertainties in financial markets : applications of Lévy processes and implied volatilities
Jump processes with variable scaling parameters
Reforms of international markets for natural gas
A new sledge jump system that allows almost natural reactive jumps
On Maximal Inequalities for some Jump Processes
Stochastic calculus of variations for jump processes
Stochastic calculus of variations for jump processes
On maximal inequalities for some jump processes
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Empirical analysis of natural gas markets
Jumps and uncertainties in financial markets : applications of Lévy processes and implied volatilities
Jump processes with variable scaling parameters
Reforms of international markets for natural gas
A new sledge jump system that allows almost natural reactive jumps
On Maximal Inequalities for some Jump Processes
Stochastic calculus of variations for jump processes
Stochastic calculus of variations for jump processes