Volatility dynamics of nymex natural gas futures prices

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Volatility dynamics of nymex natural gas futures prices

Despite their importance in pricing futures and other derivative contracts, seasonalvariations in mean and variance of energy prices have not been fully captured inprevious studies of energy prices. We examine the volatility dynamics of daily naturalgas futures traded on the NYMEX via the partially...

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Bibliographic Details
Main Authors:	Suenaga, Hiroaki, Smith, A., Williams, J.
Other Authors:	Professor Harry Bloch, President, The Economic Society of Australia (WA branch)
Format:	Conference Paper
Published:	Curtin University of Technology 2006
Online Access:	http://hdl.handle.net/20.500.11937/14008

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