Jump Processes in Natural Gas Markets

Charles Mason and Neil Wilmot

No 4604, CESifo Working Paper Series from CESifo

Abstract: 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.

Keywords: natural gas prices; jump diffusion; GARCH (search for similar items in EconPapers)
JEL-codes: G17 Q41 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (20)

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Journal Article: Jump processes in natural gas markets (2014)
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