SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Trading volume, maturity and natural gas futures price volatility
15 references·1 citing·45 second hop
Trading volume, maturity and natural gas futures price volatility (1995)Trading volume, maturity and natural gas …Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Pipeline Access and Market Integration in the Natural Gas Industry: Evidence from Cointegration Tests (1993)Pipeline Access and Market In…Two‐step testing procedure for price discovery role of futures prices (1992)Two‐step testing procedure fo…Risk Premiums and Efficiency in the Market for Crude Oil Futures (1992)Risk Premiums and Efficiency …A GARCH examination of the relationship between volume and price variability in futures markets (1991)A GARCH examination of the re…Forecasting efficiency of energy futures prices (1989)Forecasting efficiency of ene…Are petroleum futures prices good predictors of cash value? (1987)Are petroleum futures prices …Price variability and the maturity effect in futures markets (1986)Price variability and the mat…Futures Price Variability: A Test of Maturity and Volume Effects (1986)Futures Price Variability: A …Some determinants of the volatility of futures prices (1985)Some determinants of the vola…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Is Real-World Price a Tale Told by the Idiot of Chance? (1976)Is Real-World Price a Tale To…A Note on the Variability of Futures Prices (1976)A Note on the Variability of …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market (2004)The Relationship Between Ener…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting futures trading volume using neural networks (1995)Intraday volatility interaction between the crude oil and equity markets (2015)Herding and excessive risk in the American stock market: A sectoral analysis (2016)MONEY, INCOME, AND CAUSALITY (1972)Volume‐volatility relationships for crude oil futures markets (1995)Trading Volume and Market Volatility: Developed versus Emerging Stock Markets (2007)The Determinants of the Variability of Stock Market Prices (1980)The Time Pattern of Hedging and the Volatility of Futures Prices (1983)The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses (1989)Estimating time‐varying optimal hedge ratios on futures markets (1991)Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices (1994)Information, futures prices, and stabilizing speculation (1978)Hedging and the Competitive Firm under Price Uncertainty (1979)Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos? (1993)Volatility in Wheat Spot and Futures Markets, 1950-1993: Government Farm Programs, Seasonality, and Causality (1996)Price spread and convenience yield behaviour in the international oil market (2001)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Unbiasedness and time varying risk premia in the crude oil futures market (1994)Asset storability and price discovery in commodity futures markets: A new look (2001)Fundamentals, Trader Activity and Derivative Pricing (2008)Statistical analysis of cointegration vectors (1988)Price Convergence in North American Natural Gas Spot Markets (1996)Impacts of the European Emissions Trading Scheme Directive and Permit Assignment Methods on the Spanish Electricity Sector (2006)Gas versus oil prices the impact of shale gas (2012)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Volatility forecast comparison using imperfect volatility proxies (2010)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The variation of certain speculative prices (1997)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
this work references cited by second hop

References

  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1985Some determinants of the volatility of futures prices236 cited
  • 1986Futures Price Variability: A Test of Maturity and Volume Effects191 cited
  • 1991A GARCH examination of the relationship between volume and price variability in futures markets146 cited
  • 1986Price variability and the maturity effect in futures markets134 cited
  • 1992Two‐step testing procedure for price discovery role of futures prices132 cited
  • 1993Pipeline Access and Market Integration in the Natural Gas Industry: Evidence from Cointegration Tests130 cited
  • 1976A Note on the Variability of Futures Prices87 cited
  • 1987Are petroleum futures prices good predictors of cash value?77 cited
  • 1976Is Real-World Price a Tale Told by the Idiot of Chance?74 cited
  • 1989Forecasting efficiency of energy futures prices49 cited
  • 1992Risk Premiums and Efficiency in the Market for Crude Oil Futures

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

44 cited

Cited by

  • 2004The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market18 cited