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Trading volume, maturity and natural gas futures price volatility

Citations

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Cited by:

  1. Ripple, Ronald D. & Moosa, Imad A., 2009. "The effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility," Global Finance Journal, Elsevier, vol. 20(3), pages 209-219.
  2. Sun, Yiqun & Ji, Hao & Cai, Xiurong & Li, Jiangchen, 2023. "Joint extreme risk of energy prices-evidence from European energy markets," Finance Research Letters, Elsevier, vol. 56(C).
  3. Chevallier, Julien & Sévi, Benoît, 2012. "On the volatility–volume relationship in energy futures markets using intraday data," Energy Economics, Elsevier, vol. 34(6), pages 1896-1909.
  4. Gebre-Mariam, Yohannes Kebede, 2011. "Testing for unit roots, causality, cointegration, and efficiency: The case of the northwest US natural gas market," Energy, Elsevier, vol. 36(5), pages 3489-3500.
  5. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2016. "The behaviour mechanism analysis of regional natural gas prices: A multi-scale perspective," Energy, Elsevier, vol. 101(C), pages 266-277.
  6. Liu, 2014. "Do futures prices exhibit maturity effect? A nonparametric revisit," Applied Economics, Taylor & Francis Journals, vol. 46(8), pages 813-825, March.
  7. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
  8. Misund, Bård & Oglend, Atle, 2016. "Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach," Energy, Elsevier, vol. 111(C), pages 178-189.
  9. Sarika Mahajan & Balwinder Singh, 2008. "An Empirical Analysis of Stock Price-Volume Relationship in Indian Stock Market," Vision, , vol. 12(3), pages 1-13, July.
  10. Luo, Guoliang & Liu, Shanshan & Yan, Xiaohui & Guo, Yiwei, 2021. "Institutional constraints to China's low carbon transition: A case study of China's coal-to-gas program," Structural Change and Economic Dynamics, Elsevier, vol. 57(C), pages 121-135.
  11. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
  12. Luo, Keyu & Guo, Qiang & Li, Xiafei, 2022. "Can the return connectedness indices from grey energy to natural gas help to forecast the natural gas returns?," Energy Economics, Elsevier, vol. 109(C).
  13. Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
  14. Verner, Robert & Tkáč, Michal, 2023. "On the predictability of bonds," Finance Research Letters, Elsevier, vol. 57(C).
  15. Lester Hadsell, 2006. "A TARCH examination of the return volatility-volume relationship in electricity futures," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 893-901.
  16. Saurabh Gupta & Prabina Rajib, 2012. "Samuelson Hypothesis & Indian Commodity Derivatives Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(4), pages 331-352, November.
  17. Chao Liang & Feng Ma & Lu Wang & Qing Zeng, 2021. "The information content of uncertainty indices for natural gas futures volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1310-1324, November.
  18. Chen, Zhihua & An, Haizhong & An, Feng & Guan, Qing & Hao, Xiaoqing, 2018. "Structural risk evaluation of global gas trade by a network-based dynamics simulation model," Energy, Elsevier, vol. 159(C), pages 457-471.
  19. Alizadeh, Amir H. & Tamvakis, Michael, 2016. "Market conditions, trader types and price–volume relation in energy futures markets," Energy Economics, Elsevier, vol. 56(C), pages 134-149.
  20. Toshiko Matsui & Ali Al-Ali & William J. Knottenbelt, 2022. "On the Dynamics of Solid, Liquid and Digital Gold Futures," Papers 2202.09845, arXiv.org.
  21. repec:dau:papers:123456789/6887 is not listed on IDEAS
  22. Michael S. Haigh & Matthew T. Holt, 2002. "Crack spread hedging: accounting for time-varying volatility spillovers in the energy futures markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 269-289.
  23. Ronald Ripple & Imad A. Moosa, 2007. "Crude Oil Futures Price Volatility: the Effect of Maturity, Trading Volume, and Open Interest on Range-Based Volatility," Energy and Environmental Modeling 2007 24000054, EcoMod.
  24. Nicolau, Mihaela & Palomba, Giulio, 2015. "Dynamic relationships between spot and futures prices. The case of energy and gold commodities," Resources Policy, Elsevier, vol. 45(C), pages 130-143.
  25. Julien Chevallier & Benoît Sévi, 2011. "On the volatility-volume relationship in energy futures markets using intraday data," Working Papers hal-04140997, HAL.
  26. Mihaela NICOLAU & Giulio PALOMBA & Ilaria TRAINI, 2013. "Are Futures Prices Influenced by Spot;Prices or Vice-versa? An Analysis of Crude;Oil, Natural Gas and Gold Markets," Working Papers 394, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  27. Walid Matar & Saud M. Al-Fattah & Tarek Atallah & Axel Pierru, 2013. "An introduction to oil market volatility analysis," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 37(3), pages 247-269, September.
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