Curtin University Homepage
  • Library
  • Help
    • Admin

    espace - Curtin’s institutional repository

    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item
    • espace Home
    • espace
    • Curtin Research Publications
    • View Item

    Volatility dynamics of NYMEX natural gas futures prices

    Access Status
    Fulltext not available
    Authors
    Suenaga, Hiroaki
    Smith, A.
    Williams, J.
    Date
    2008
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Suenaga, Hiroaki and Smith, Aaron and Williams, Jeffrey. 2008. Volatility dynamics of NYMEX natural gas futures prices. The Journal of Futures Markets 28 (5): pp. 438-463.
    Source Title
    The Journal of Futures Markets
    DOI
    10.1002/fut.20317
    ISSN
    02707314
    Faculty
    Curtin Business School
    School of Economics and Finance
    Remarks

    Copyright © 2008 John Wiley & Sons, Ltd.

    URI
    http://hdl.handle.net/20.500.11937/7299
    Collection
    • Curtin Research Publications
    Abstract

    We examine the volatility dynamics of NYMEX natural gas futures prices via the partially overlapping time-series model of Smith (2005, Journal of Applied Econometrics, 20, 405-422). We show that volatility exhibits two important features: (1) volatility is greater in the winter than in the summer, and (2) the persistence of price shocks and, hence, the correlations among concurrently traded contracts, displays substantial seasonal and cross-sectional variation in a way consistent with the theory of storage. We demonstrate that, by ignoring the seasonality in the volatility dynamics of natural gas futures prices, previous studies have suggested sub-optimal hedging strategies.

    Related items

    Showing items related by title, author, creator and subject.

    • An analysis of Australian mutual fund performance and market relationships
      Pojanavatee, Sasipa (2013)
      Mutual funds are emerging as an opportunity for investors to automatically diversify their investments in such a way that all their money is pooled and the investment decisions are left to a professional manager. There ...
    • Oil consumption, pollutant emission, oil proce volatility and economic activities in selected Asian Developing Economies
      Rafiq, Shuddhasattwa (2009)
      It is now well established in the literature that oil consumption, oil price shocks, and oil price volatility may impact the economic activities negatively. Studies identifying the relationship between energy and/or oil ...
    • Behaviour and performance of key market players in the US futures markets
      Gurrib, Muhammad Ikhlaas (2008)
      This study gives an insight into the behaviour and performance of large speculators and large hedgers in 29 US futures markets. Using a trading determinant model and priced risk factors such as net positions and sentiment ...
    Advanced search

    Browse

    Communities & CollectionsIssue DateAuthorTitleSubjectDocument TypeThis CollectionIssue DateAuthorTitleSubjectDocument Type

    My Account

    Admin

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    Follow Curtin

    • 
    • 
    • 
    • 
    • 

    CRICOS Provider Code: 00301JABN: 99 143 842 569TEQSA: PRV12158

    Copyright | Disclaimer | Privacy statement | Accessibility

    Curtin would like to pay respect to the Aboriginal and Torres Strait Islander members of our community by acknowledging the traditional owners of the land on which the Perth campus is located, the Whadjuk people of the Nyungar Nation; and on our Kalgoorlie campus, the Wongutha people of the North-Eastern Goldfields.