Volatility dynamics and seasonality in energy prices: implications for crack-spread price risk

QR Code

Volatility dynamics and seasonality in energy prices: implications for crack-spread price risk

We examine the volatility dynamics of three major petroleum commodities traded on the NYMEX: crude oil, unleaded gasoline, and heating oil. Using the partially overlapping time-series (POTS) framework of Smith (2005), we model jointly all futures contracts with delivery dates up to a year into the f...

Full description

Bibliographic Details
Main Authors:	Suenaga, Hiroaki, Smith, A.
Format:	Journal Article
Published:	INT ASSOC ENERGY ECONOMICS 2011
Subjects:	Seasonality Oil Gasoline Heating oil Volatility Crack-spread price risk
Online Access:	http://hdl.handle.net/20.500.11937/3163

Similar Items

Price Spread Analysis of Mango in Southern Mindanao, Philippines
by: Aguinaldo, R., et al.
Published: (2013)

Impact of fuel prices not that significant yet
Published: (2008)

Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation
by: Suenaga, Hiroaki
Published: (2013)

Don't bank on recession in US for lower oil price
Published: (2008)

Forecasting Oil price and Volatility
by: Yu, Man Tao
Published: (2009)

A Firm-Level Analysis Of The Relationship Between Gasoline Prices, Oil Prices and the Returns of Chinese Stocks
by: Wang, Hongtai
Published: (2020)

A flexible model of term-structure dynamics of commodity prices: A comparative analysis with a two-factor Gaussian model
by: Suenaga, Hiroaki
Published: (2013)

Jelaskan isu harga minyak
Published: (2008)

Impact of crude-oil price volatility on economic activities: An empirical investigation in the Thai economy
by: Rafiq, Shuddsattwa, et al.
Published: (2008)

Causality among selected oils and fats prices
by: Mohd. Arshad, Fatimah, et al.
Published: (1988)

Does Oil Price Volatility Matter for Asian Emerging Economies?
by: Rafiq, S., et al.
Published: (2014)

Option pricing under stochastic environment of volatility and market price of risk
by: Phewchean, N, et al.
Published: (2013)

The impact of crude oil price volatility on selected Asian emerging economies
by: Salim, Ruhul, et al.
Published: (2011)

Analysis of market volatility via a dynamically purified option price process
by: Luong, C., et al.
Published: (2014)

The international effect of economic crises on the volatility of futures prices and the volatility of underlying spot prices of stock indexes and commodities
by: Tham, Lucas Yew Jun
Published: (2022)

Understanding the price of volatility risk in carry trades
by: Ahmed, Shamim, et al.
Published: (2015)

Kenaikan harga minyak, sawit manfaatkan ekonomi
Published: (2008)

Harga minyak cecah AS$96
Published: (2008)

Currency option pricing and realised volatility
by: Manzur, Meher, et al.
Published: (2010)

Retardation of oil cracking to gas and pressure induced combination reactions to account for viscous oil in deep petroleum basins: evidence from oil and n-hexadecane pyrolysis at water pressures up to 900bar
by: Uguna, Clement N., et al.
Published: (2016)

On the implied volatility from a "purified" option price process
by: Luong, C., et al.
Published: (2014)

The default risk, enhancement and credit spread: evidence from China
by: Tang, Meiyazhu
Published: (2023)

Option pricing via maximization over uncertainty and correction of volatility smile
by: Dokuchaev, Nikolai
Published: (2011)

Oil firms feeling the heat
Published: (2008)

Effect of light and temperature on volatile compounds and growth parameters in sweet basil (Ocimum basilicum L.)
by: Chang, Xianmin
Published: (2005)

Modeling volatility in foreign currency option pricing
by: Hoque, Mohammed, et al.
Published: (2008)

Trend and Cycles in Coal and Oil Prices in the Long Run: A Schumpeterian Approach
by: Bloch, Harry, et al.
Published: (2011)

A neural network approach to option pricing
by: Mostafa, Fahed, et al.
Published: (2008)

Seasonal concentration of tourism demand: decomposition analysis and marketing implications
by: Fernández-Morales, Antonio, et al.
Published: (2016)

Asset Pricing and Foreign Exchange Risk
by: Apergis, Nicholas, et al.
Published: (2011)

Volatility dynamics of nymex natural gas futures prices
by: Suenaga, Hiroaki, et al.
Published: (2006)

Volatility dynamics of NYMEX natural gas futures prices
by: Suenaga, Hiroaki, et al.
Published: (2008)

The causal dynamics between renewable energy, real GDP, emissions and oil prices: evidence from OECD countries
by: Apergis, Nicholas, et al.
Published: (2014)

Antiulcer properties of essential oil and polypeptide K isolated from Momordica charantia L. seeds
by: Abu Bakar, Nurul'ain
Published: (2015)

Misspecification in term structure models of commodity prices: implications for hedging price risk
by: Suenaga, Hiroaki
Published: (2011)

Do structural oil-market shocks affect stock prices?
by: Apergis, Nicholas, et al.
Published: (2009)

Modeling price volatility of Sarawak pepper / Jelani Razali
by: Razali, Jelani
Published: (2018)

Natural Gas Market Liberalization: An Examination of UK and US Futures and Spot Prices
by: Simpson, John
Published: (2013)

A new spread estimator
by: Bleaney, Michael, et al.
Published: (2015)

New advances in catalysts for C9 petroleum resin hydrogenation
by: Yu, Chong, et al.
Published: (2020)

Cannot write session to /tmp/vufind_sessions/sess_0fo63283bij42ribdktiocbpvq