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Natural gas prices and the gas storage report: Public news and volatility in energy futures markets

Citations

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Cited by:

  1. Giulietti, Monica & Grossi, Luigi & Waterson, Michael, 2011. "A Rough Examination of the value of gas storage," The Warwick Economics Research Paper Series (TWERPS) 967, University of Warwick, Department of Economics.
  2. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  3. 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.
  4. Farhangdoost, Sara & Etienne, Xiaoli L., 2020. "Time-Varying Storage Announcement Effect in Natural Gas Market," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304476, Agricultural and Applied Economics Association.
  5. 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.
  6. Tarek Chebbi & Waleed Hmedat, 2024. "Inventory information arrival and the crude oil futures market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(2), pages 1513-1533, April.
  7. Olivier Rousse & Benoît Sévi, 2017. "Informed Trading in Oil-Futures Market," Working Papers hal-01460186, HAL.
  8. Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers hal-01410093, HAL.
  9. Ye, Shiyu & Karali, Berna, 2016. "The informational content of inventory announcements: Intraday evidence from crude oil futures market," Energy Economics, Elsevier, vol. 59(C), pages 349-364.
  10. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
  11. Monica Giulietti, Luigi Grossi, and Michael Waterson, 2012. "A Rough Analysis: Valuing Gas Storage," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  12. Nikkinen, Jussi & Rothovius, Timo, 2019. "The EIA WPSR release, OVX and crude oil internet interest," Energy, Elsevier, vol. 166(C), pages 131-141.
  13. Vortelinos, Dimitrios I. & Koulakiotis, Athanasios & Tsagkanos, Athanasios, 2017. "Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 150-168.
  14. Marc Bohmann & Vinay Patel, 2020. "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series 2020-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  15. Ding, Ashley, 2021. "A state-preference volatility index for the natural gas market," Energy Economics, Elsevier, vol. 104(C).
  16. Yanting Chen & Peter R. Hartley & Yihui Lan, 2023. "Temperature, storage, and natural gas futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(4), pages 549-575, April.
  17. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  18. Marcel Prokopczuk & Chardin Wese Simen & Robert Wichmann, 2021. "The Natural Gas Announcement Day Puzzle," The Energy Journal, , vol. 42(2), pages 91-112, March.
  19. Hitzemann, Steffen & Uhrig-Homburg, Marliese & Ehrhart, Karl-Martin, 2015. "Emission permits and the announcement of realized emissions: Price impact, trading volume, and volatilities," Energy Economics, Elsevier, vol. 51(C), pages 560-569.
  20. Hong Miao & Sanjay Ramchander & Tianyang Wang & Jian Yang, 2018. "The impact of crude oil inventory announcements on prices: Evidence from derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 38-65, January.
  21. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
  22. Rocío Uría & Jeffrey Williams, 2007. "The Supply of Storage for Natural Gas in California," The Energy Journal, , vol. 28(3), pages 31-50, July.
  23. Geng, Jiang-Bo & Ji, Qiang & Fan, Ying, 2017. "The relationship between regional natural gas markets and crude oil markets from a multi-scale nonlinear Granger causality perspective," Energy Economics, Elsevier, vol. 67(C), pages 98-110.
  24. Ergen, Ibrahim & Rizvanoghlu, Islam, 2016. "Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach," Energy Economics, Elsevier, vol. 56(C), pages 64-74.
  25. Chen Gu & Alexander Kurov, 2018. "What drives informed trading before public releases? Evidence from natural gas inventory announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1079-1096, September.
  26. Adrian Fernandez-Perez & Alexandre Garel & Ivan Indriawan, 2020. "Natural Gas Storage Forecasts: Is the Crowd Wiser?," The Energy Journal, , vol. 41(5), pages 213-238, September.
  27. Bu, Hui, 2014. "Effect of inventory announcements on crude oil price volatility," Energy Economics, Elsevier, vol. 46(C), pages 485-494.
  28. Song-Zan Chiou-Wei & Sheng-Hung Chen & Wei-Hung Chen, 2023. "Asymmetric Effects of Prices and Storage on Rig Counts: Evidence from the US Natural Gas and Crude Oil Markets," Energies, MDPI, vol. 16(15), pages 1-25, August.
  29. Krzysztof Drachal & Michał Pawłowski, 2024. "Forecasting Selected Commodities’ Prices with the Bayesian Symbolic Regression," IJFS, MDPI, vol. 12(2), pages 1-56, March.
  30. Chiou-Wei, Song-Zan & Chen, Sheng-Hung & Zhu, Zhen, 2020. "Natural gas price, market fundamentals and hedging effectiveness," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 321-337.
  31. Olivier Rousse & Benoît Sévi, 2019. "Informed Trading in the WTI Oil Futures Market," The Energy Journal, , vol. 40(2), pages 139-160, March.
  32. Bjursell, Johan & Gentle, James E. & Wang, George H.K., 2015. "Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets," Energy Economics, Elsevier, vol. 48(C), pages 336-349.
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