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How does the U.S. natural gas market react to demand and supply shocks in the crude oil market?
14 references·10 citing·39 second hop
How does the U.S. natural gas market react to demand and supply shocks in the crude oil market? (2017)How does the U.S. natural gas market reac…What drives natural gas prices? — A structural VAR approach (2014)What drives natural gas price…THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)THE ROLE OF INVENTORIES AND S…The Weak Tie Between Natural Gas and Oil Prices (2012)The Weak Tie Between Natural …DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS (2012)DISENTANGLING DEMAND AND SUPP…What do we learn from the price of crude oil futures? (2010)What do we learn from the pri…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …What Drives Natural Gas Prices? (2008)What Drives Natural Gas Price…The Relationship of Natural Gas to Oil Prices (2008)The Relationship of Natural G…The UK Market for Natural Gas, Oil and Electricity: Are the Prices Decoupled? (2006)The UK Market for Natural Gas…Testing for Market Integration Crude Oil, Coal, and Natural Gas (2006)Testing for Market Integratio…Oil and gas markets in the UK: Evidence from a cointegrating approach (2006)Oil and gas markets in the UK…Testing for common features in North American energy markets (2004)Testing for common features i…Bootstrapping autoregressions with conditional heteroskedasticity of unknown form (2004)Bootstrapping autoregressions…Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR (2024)Inflation returns. Revisiting…Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective (2023)Research on tail risk contagi…Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19 (2022)Time-frequency volatility spi…The impact of extreme structural oil-price shocks on clean energy and oil stocks (2021)The impact of extreme structu…The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach (2020)The asymmetric oil price and …Financial modelling, risk management of energy instruments and the role of cryptocurrencies (2020)Financial modelling, risk man…Energy Prices and COVID-Immunity: The Case of Crude Oil and Natural Gas Prices in the US and Japan (2020)Energy Prices and COVID-Immun…What drives volatility in natural gas prices? (2019)What drives volatility in nat…Oil prices, policy uncertainty and asymmetries in inflation expectations (2019)Oil prices, policy uncertaint…Dynamic frequency connectedness between oil and natural gas volatilities (2019)Dynamic frequency connectedne…Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Oil prices, US stock return, and the dependence between their quantiles (2015)Industrial Market Structure and Economic Performance. 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Results from an agnostic identification procedure (2005)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks (2019)Applied Time Series Econometrics (2004)Macro determinants of volatility and volatility spillover in energy markets (2014)Expectations and Exchange Rate Dynamics (1976)Comparing Predictive Accuracy (1994)Investor Flows and the 2008 Boom/Bust in Oil Prices (2013)Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries (2013)“Options, Futures, and Other Derivatives” (2016)Forty Years of Oil Price Fluctuations: Why the Price of Oil May Still Surprise Us (2016)Forecasting and testing in co-integrated systems (1987)THE POWER OF COINTEGRATION TESTS (1992)Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices (2013)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis (2005)WHY AGNOSTIC SIGN RESTRICTIONS ARE NOT ENOUGH: UNDERSTANDING THE DYNAMICS OF OIL MARKET VAR MODELS (2012)Oil shocks, policy uncertainty and stock market return (2013)
this work references cited by second hop

References

  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 2013THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL1,439 cited
  • 2010What do we learn from the price of crude oil futures?744 cited
  • 2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form631 cited
  • 2008What Drives Natural Gas Prices?352 cited
  • 2006Testing for Market Integration Crude Oil, Coal, and Natural Gas292 cited
  • 2006The UK Market for Natural Gas, Oil and Electricity: Are the Prices Decoupled?222 cited
  • 2014What drives natural gas prices? — A structural VAR approach217 cited
  • 2008The Relationship of Natural Gas to Oil Prices208 cited
  • 2006Oil and gas markets in the UK: Evidence from a cointegrating approach173 cited
  • 2012The Weak Tie Between Natural Gas and Oil Prices172 cited
  • 2004Testing for common features in North American energy markets122 cited
  • 2012DISENTANGLING DEMAND AND SUPPLY SHOCKS IN THE CRUDE OIL MARKET: HOW TO CHECK SIGN RESTRICTIONS IN STRUCTURAL VARS119 cited

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  • 2019

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Dynamic frequency connectedness between oil and natural gas volatilities
111 cited
  • 2019Oil prices, policy uncertainty and asymmetries in inflation expectations104 cited
  • 2020Financial modelling, risk management of energy instruments and the role of cryptocurrencies98 cited
  • 2019What drives volatility in natural gas prices?97 cited
  • 2021The impact of extreme structural oil-price shocks on clean energy and oil stocks88 cited
  • 2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective86 cited
  • 2020Energy Prices and COVID-Immunity: The Case of Crude Oil and Natural Gas Prices in the US and Japan73 cited
  • 2022Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-1967 cited
  • 2020The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach65 cited
  • 2024Inflation returns. Revisiting the role of external and domestic shocks with Bayesian structural VAR24 cited