Modeling Natural Gas Price Volatility: The Case of the UK Gas Market
作者： Harm van Goor , Bert Scholtens
DOI: 10.1016/J.ENERGY.2014.05.016
关键词: Volatility smile 、 Volatility (finance) 、 Volatility risk premium 、 Volatility swap 、 Natural gas prices 、 Supply and demand 、 Implied volatility 、 Economics 、 Autoregressive conditional heteroskedasticity 、 Financial economics
摘要: … We investigate if and how gas price volatility can be explained on the basis of market … We investigate daily natural gas prices in the UK in the 21st century. We find that different …
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