Did Amaranth's absolute, relative and extreme positions affect natural gas futures prices, spreads and volatilities?

John E Marthinsen; Yunwei Gai

doi:10.1057/jdhf.2010.3

Did Amaranth's absolute, relative and extreme positions affect natural gas futures prices, spreads and volatilities?

Journal of Derivatives & Hedge Funds ◽

10.1057/jdhf.2010.3 ◽

2010 ◽

Vol 16 (1) ◽

pp. 9-21 ◽

Cited By ~ 3

Author(s):

John E Marthinsen ◽

Yunwei Gai

Keyword(s):

Natural Gas ◽

Futures Prices

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The Impact of Outliers on Computing Conditional Risk Measures for Crude Oil and Natural Gas Commodity Futures Prices

SSRN Electronic Journal ◽

10.2139/ssrn.3122009 ◽

2018 ◽

Author(s):

Joe W. Byers ◽

Ivilina Popova ◽

Betty J. Simkins

Keyword(s):

Natural Gas ◽

Crude Oil ◽

Risk Measures ◽

Commodity Futures ◽

Futures Prices ◽

Conditional Risk ◽

Oil And Natural Gas ◽

Conditional Risk Measures ◽

The Impact

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Performance of generated moving average strategies in natural gas futures prices at different time scales

Journal of Natural Gas Science and Engineering ◽

10.1016/j.jngse.2015.03.031 ◽

2015 ◽

Vol 24 ◽

pp. 337-345 ◽

Cited By ~ 6

Author(s):

Xiaojia Liu ◽

Haizhong An ◽

Lijun Wang

Keyword(s):

Natural Gas ◽

Time Scales ◽

Moving Average ◽

Futures Prices ◽

Different Time Scales

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Are natural gas spot and futures prices predictable?

Economic Modelling ◽

10.1016/j.econmod.2015.12.034 ◽

2016 ◽

Vol 54 ◽

pp. 178-186 ◽

Cited By ~ 13

Author(s):

Vinod Mishra ◽

Russell Smyth

Keyword(s):

Natural Gas ◽

Futures Prices

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Comparison of AEO 2009 Natural Gas Price Forecast to NYMEX Futures Prices

10.2172/948129 ◽

2009 ◽

Author(s):

Mark Bolinger ◽

Ryan Wiser

Keyword(s):

Natural Gas ◽

Futures Prices ◽

Price Forecast ◽

Gas Price

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Comparison of AEO 2010 Natural Gas Price Forecast to NYMEX Futures Prices

10.2172/980912 ◽

2010 ◽

Author(s):

Mark A. Bolinger ◽

Ryan H. Wiser

Keyword(s):

Natural Gas ◽

Futures Prices ◽

Price Forecast ◽

Gas Price

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The nexus between natural gas spot and futures prices at NYMEX: Do weather shocks and non-linear causality in low frequencies matter?

The Journal of Economic Asymmetries ◽

10.1016/j.jeca.2018.e00100 ◽

2018 ◽

Vol 18 ◽

pp. e00100 ◽

Cited By ~ 1

Author(s):

Theologos Dergiades ◽

Reinhard Madlener ◽

Georgia Christofidou

Keyword(s):

Natural Gas ◽

Futures Prices ◽

Low Frequencies ◽

Weather Shocks ◽

Non Linear

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LINKAGES OF NATURAL GAS AND OIL FUTURES PRICES ON THE AMERICAN AND EUROPEAN DERIVATIVES MARKET

Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu ◽

10.15611/pn.2017.482.13 ◽

2017 ◽

pp. 158-168

Author(s):

Blanka Łęt

Keyword(s):

Natural Gas ◽

Futures Prices ◽

Oil Futures

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The Nexus between Natural Gas Spot and Futures Prices at NYMEX: What about Non-Linear Causality?

SSRN Electronic Journal ◽

10.2139/ssrn.2236278 ◽

2012 ◽

Cited By ~ 8

Author(s):

Theologos Dergiades ◽

Georgia Christofidou ◽

Reinhard Madlener

Keyword(s):

Natural Gas ◽

Futures Prices ◽

Non Linear

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Wavelet domain correlation between the futures prices of natural gas and oil

The Quarterly Review of Economics and Finance ◽

10.1016/j.qref.2010.07.002 ◽

2010 ◽

Vol 50 (4) ◽

pp. 408-414 ◽

Cited By ~ 25

Author(s):

Victor Lux Tonn ◽

H.C. Li ◽

Joseph McCarthy

Keyword(s):

Natural Gas ◽

Wavelet Domain ◽

Futures Prices

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Investment and operating choice: Oil and natural gas futures prices and drilling activity

Energy Economics ◽

10.1016/j.eneco.2017.05.012 ◽

2017 ◽

Vol 66 ◽

pp. 54-68 ◽

Cited By ~ 7

Author(s):

Fan Chen ◽

Scott C. Linn

Keyword(s):

Natural Gas ◽

Futures Prices ◽

Oil And Natural Gas

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