Essays on natural gas price behavior

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To analyze patterns in the behavior of North American natural gas prices, we consider a number of topics, which are organized in separate chapters. The second chapter introduces the reader not familiar with the energy industry to the North American gas and the world oil commodity markets. The rest of the chapters would be useful for the energy market participants interested in modeling energy price behavior. We examine statistical properties of the Henry Hub natural gas price series over the deregulated period starting 1991. We also examine the properties of the WTI oil price where appropriate, as we distinguish between the oil market being a world commodity market, and the natural gas market being a North American market. We look for possible dependencies in the behavior of the commodity prices on spot and futures markets while testing for effectiveness of futures price formation. We also address a macro-economic issue of the cyclical patterns in natural gas and oil prices behavior.
Bibliography: p. 125-129
Iourkova, I. (2003). Essays on natural gas price behavior (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from doi:10.11575/PRISM/23868