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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 4604
- Klassifikation
-
Wirtschaft
Energy: Demand and Supply; Prices
Financial Forecasting and Simulation
- Thema
-
natural gas prices
jump diffusion
GARCH
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mason, Charles F.
Wilmot, Neil
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mason, Charles F.
- Wilmot, Neil
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2014
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