 The nexus between natural gas spot and futures prices at NYMEX: Do weather shocks and non-linear causality in low frequencies matter?Theologos Dergiades, Reinhard Madlener and Georgia Christofidou The Journal of Economic Asymmetries, 2018, vol. 18, issue C, - Abstract: 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. Keywords: Natural gas; Spot and futures markets; Frequency domain causality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:joecas:v:18:y:2018:i:c:3 DOI: 10.1016/j.jeca.2018.e00100 Access Statistics for this article The Journal of Economic Asymmetries is currently edited by A.G. Malliaris More articles in The Journal of Economic Asymmetries from Elsevier |
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