Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter
作者： Anne Neumann , Boriss Siliverstovs , Christian von Hirschhausen
DOI: 10.1080/13504850500404258
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摘要: This letter provides a textbook example of an econometric analysis the integration between two commodity markets and subsequent price convergence or absence thereof. Price relations spot are analysed for natural gas in Europe. The European market is currently undergoing liberalization process with aim creating single, unified market. Time-varying coefficient estimation models used, applying Kalman filter to test whether different locations really taking place. results reveal that construction pipeline UK Zeebrugge (Belgium) has led almost perfect these time period under consideration; on other hand, continent does not seem be working so far.
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