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Natural Gas markets:How Sensitive to Crude Oil Price Changes?

Ibrahim Onour ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates sensitivity of U.S. natural gas price to crude oil price changes, using time-varying coefficient models. Identification of the range of variation of the sensitivity of natural gas price to oil price change allows more accurate assessment of upper and minimum risk levels that can be utilized in pricing natural gas derivatives such as gas futures and option contracts, and gas storage facility contracts.

Keywords: Natural gas; Sensitivity; GARCH; Volatility; Skewness; Kurtosis (search for similar items in EconPapers)
JEL-codes: C22 C01 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene and nep-rmg
Date: 2009-04-25
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