World Natural Gas Markets: Characteristics, Basic Properties and Linkages of Natural Gas Prices

Blanka Łęt

Abstract

In recent years the world natural gas market is changing mainly due to the wider access to LNG (Liquefied Natural Gas). This technology allows to trade between the market participants all over the world. The natural gas prices on the American and European market are predominantly benchmarked to Henry Hub and National Balancing Point (NBP) natural gas. The goal of this paper is to compare basic properties of selected time series and to investigate whether the listings of natural gas in the derivatives markets are linked. We show that the probability distribution of returns is not normal and that there is a strong ARCH effect. We use multivariate GARCH model to describe the linkages between several series. We are taking into account two return series of natural gas futures contracts (Henry Hub and National Balancing Point) and two returns series of crude oil futures contracts (West Texas Intermediate and Brent) to measure the strength of linkages across two commodity markets, the most important fossil fuels.
Author Blanka Łęt (WIiGE / KMS)
Blanka Łęt,,
- Department of Applied Mathematics
Pages35-43
Publication size in sheets0.5
Book Jajuga Krzysztof, Orlowski Lucjan T., Staehr Karsten (eds.): Contemporary Trends and Challenges in Finance. Proceedings from the 2nd Wroclaw International Conference in Finance, Springer Proceedings in Business and Economics, 2017, Springer, ISBN 978-3-319-54884-5, [978-3-319-54885-2], 343 p., DOI:10.1007/978-3-319-54885-2
Keywords in Englishnatural gas, crude oil, linkages, multivariate GARCH model
DOIDOI:10.1007/978-3-319-54885-2_4
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 08-04-2020, ChapterFromConference
Publication indicators WoS Citations = 0
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