A multi-factor model with time-varying and seasonal risk premiums for the natural gas market

In this paper, we develop a quantitative model of the US natural gas market that explores its multi-factor structure and its time-varying and seasonal risk premiums. With weekly spot and futures prices we show that three factors are preferred to describe the futures term structure, and the time-vary...

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Bibliographic details
Volume: 50
Main Author: Shao, Chengwu
Bhar, Ramaprasad
Colwell, David B
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: AMSTERDAM Elsevier B.V 01.07.2015
ELSEVIER SCIENCE BV
published in: Energy economics Vol. 50; pp. 207 - 214
Data of publication: July 2015
ISSN: 0140-9883
1873-6181
EISSN: 1873-6181
Discipline: Economics
Subjects:
Q43
C32
G13
Q40
Online Access: available in Bonn?
Database: Web of Knowledge
Social Sciences Citation Index
Web of Science
Web of Science - Social Sciences Citation Index - 2015
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Academic OneFile (A&I only)
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