Volatility dynamics of nymex natural gas futures prices
作者： Hiroaki Suenaga , Aaron Smith , Jeffrey Williams
DOI: 10.1002/FUT.20317
关键词:
摘要: We examine the volatility dynamics of NYMEX natural gas futures prices via partially overlapping time-series model Smith (2005. Journal Applied Econometrics, 20, 405–422). show that exhibits two important features: (1) is greater in winter than summer, and (2) persistence price shocks and, hence, correlations among concurrently traded contracts, displays substantial seasonal cross-sectional variation a way consistent with theory storage. demonstrate that, by ignoring seasonality prices, previous studies have suggested sub-optimal hedging strategies. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:438–463,
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