Volatility, storage and convenience: Evidence from natural gas markets

Journal of Futures Markets

Volumn 17, Issue 1, 1997, Pages 17-43

  Susmel, Haul ^a   Thompson, Andrew ^b  

^a UNIVERSITY OF HOUSTON   (United States)

^b VIRGINIA POLYTECHNIC INSTITUTE AND STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 8744307984     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199702)17:1<17::AID-FUT2>3.0.CO;2-J     Document Type: Article

References (8)

1. Bollerslev, T. P. (1986); "Generalized Autoregressive Conditional Heteroscedasticity," Journal of Econometrics, 31:309-328.
2. Bollerslev, T. P., Chou, R. Y., and Kroner, K. F. (1992); "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence," Journal of Econometrics, 52:5-59.
3. Braeutigam, R. R. (1990): "Regulatory Reform: Lessons for Natural Gas Pipelines," Contemporary Policy Issues, 8:122-141.
4. Brennan, M.J. (1958): "The Supply of Storage," American Economic Review, 48:50-72.
5. Brennan, M. J. (1991): "The Price of Convenience and the Valuation of Commodity Contingent Claims," in Stochastic Models and Option Values, Lund, D., and Øksendal, B. (eds.), Elsevier Science Publishers B. V.
6. Brinkmann, J., and Rabinovitch, R. (1994): "The Impact of Storage and Transportation Costs on the Innovation Associated with Natural Gas Futures," Working Paper, Department of Finance, College of Business Administration, University of Houston.
7. Cai, J. (1994): "A Markov Model of Unconditional Variance in ARCH,"Journal of Business and Economic Statistics, forthcoming.
8. Cho, D. W., and McDougall, G. S. (1990): "The Supply of Storage in Energy Futures Markets," The Journal of Futures Markets, 10:611-621.