Volatility dynamics of NYMEX natural gas futures prices
| dc.contributor.author | Suenaga, Hiroaki | |
| dc.contributor.author | Smith, A. | |
| dc.contributor.author | Williams, J. | |
| dc.date.accessioned | 2017-01-30T10:58:55Z | |
| dc.date.available | 2017-01-30T10:58:55Z | |
| dc.date.created | 2009-03-05T00:54:49Z | |
| dc.date.issued | 2008 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/7299 | |
| dc.identifier.doi | 10.1002/fut.20317 | |
| dc.description.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. | |
| dc.publisher | Wiley InterScience | |
| dc.title | Volatility dynamics of NYMEX natural gas futures prices | |
| dc.type | Journal Article | |
| dcterms.source.volume | 28 | |
| dcterms.source.number | 5 | |
| dcterms.source.startPage | 438 | |
| dcterms.source.endPage | 463 | |
| dcterms.source.issn | 02707314 | |
| dcterms.source.title | The Journal of Futures Markets | |
| curtin.note |
Copyright © 2008 John Wiley & Sons, Ltd. | |
| curtin.accessStatus | Fulltext not available | |
| curtin.faculty | Curtin Business School | |
| curtin.faculty | School of Economics and Finance |