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International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan
8 references·16 citing·36 second hop
International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan (2005)International market integration for natu…Explaining Cointegration Analysis: Part II (2001)Explaining Cointegration Anal…Goods Prices and Exchange Rates: What Have We Learned? (1996)Goods Prices and Exchange Rat…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Five alternative methods of estimating long-run equilibrium relationships (1994)Five alternative methods of e…A Comparison of Unit-Root Test Criteria (1994)A Comparison of Unit-Root Tes…Common stochastic trends in international stock markets (1992)Common stochastic trends in i…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Nonlinearity in forecasting energy commodity prices: Evidence from a focused time-delayed neural network (2022)Nonlinearity in forecasting e…Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach (2020)Identifying price bubbles in …What drives volatility in natural gas prices? (2019)What drives volatility in nat…Turbulent times: Uncovering the origins of US natural gas price fluctuations since deregulation (2017)Turbulent times: Uncovering t…Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade (2017)Oil indexation, market fundam…The spillover effects across natural gas and oil markets: Based on the VEC–MGARCH framework (2015)The spillover effects across …Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context (2015)Does the carbon market help o…What drives natural gas prices? — A structural VAR approach (2014)What drives natural gas price…Network Cournot Competition (2014)Network Cournot CompetitionThe relationship between spot and contract gas prices in Europe (2013)The relationship between spot…Price Discovery in European Natural Gas Markets (2012)Price Discovery in European N…Have oil and gas prices got separated? (2012)Have oil and gas prices got s…Gas versus oil prices the impact of shale gas (2012)Gas versus oil prices the imp…Linking Natural Gas Markets - Is LNG Doing its Job? (2009)Linking Natural Gas Markets -…The Relationship of Natural Gas to Oil Prices (2008)The Relationship of Natural G…Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter (2006)Convergence of European spot …Statistical analysis of cointegration vectors (1988)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Spurious regression and residual-based tests for cointegration in panel data (1999)On the estimation and inference of a cointegrated regression in panel data (2004)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)A Decomposition of Global Linkages in Financial Markets Over Time (2004)The causal relationship between electricity consumption and economic growth in the ASEAN countries (2005)The nexus between carbon emissions, energy consumption and economic growth in Middle East countries: A panel data analysis (2013)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)The econometrics of financial markets (1996)Country spreads and emerging countries: Who drives whom? (2005)Stock prices and exchange rate dynamics (2005)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Error‐correction Mechanism Tests for Cointegration in a Single‐equation Framework (1998)Introductory Econometrics for Finance (2008)Statistical inference in vector autoregressions with possibly integrated processes (1995)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Impacts of OPEC's political risk on the international crude oil prices: An empirical analysis based on the SVAR models (2016)The dynamic linkages between crude oil and natural gas markets (2016)Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions (2022)Applied Time Series Econometrics (2004)Testing for Market Integration Crude Oil, Coal, and Natural Gas (2006)The Weak Tie Between Natural Gas and Oil Prices (2012)Macro determinants of volatility and volatility spillover in energy markets (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Economic growth and pollutant emissions in Tunisia: An empirical analysis of the environmental Kuznets curve (2009)The role of energy in economic growth (2011)Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates? 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this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1996Goods Prices and Exchange Rates: What Have We Learned?1,495 cited
  • 1994Five alternative methods of estimating long-run equilibrium relationships1,129 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 2001Explaining Cointegration Analysis: Part II552 cited
  • 1994A Comparison of Unit-Root Test Criteria447 cited

Cited by

  • 2014What drives natural gas prices? — A structural VAR approach217 cited
  • 2008The Relationship of Natural Gas to Oil Prices208 cited
  • 2015The spillover effects across natural gas and oil markets: Based on the VEC–MGARCH framework148 cited
  • 2017Oil indexation, market fundamentals, and natural gas prices: An investigation of the Asian premium in natural gas trade139 cited
  • 2015Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context139 cited
  • 2012Have oil and gas prices got separated?131 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2009Linking Natural Gas Markets - Is LNG Doing its Job?111 cited
  • 2006Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter105 cited
  • 2019What drives volatility in natural gas prices?97 cited
  • 2012Gas versus oil prices the impact of shale gas96 cited
  • 2017Turbulent times: Uncovering the origins of US natural gas price fluctuations since deregulation76 cited
  • 2020Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach72 cited
  • 2013The relationship between spot and contract gas prices in Europe72 cited
  • 2014Network Cournot Competition41 cited
  • 2022Nonlinearity in forecasting energy commodity prices: Evidence from a focused time-delayed neural network39 cited
  • 2012Price Discovery in European Natural Gas Markets30 cited