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	Provedor de dados AgEcon (1) Autor Bessler, David A. (1) Gan, Li (1) Leatham, David J. (1) Qin, Xiaoyan (1) Wu, Ximing (1) Palavra-chave GARCH (1) Markov-switching model (1) Resource /Energy Economics and Policy (1) US natural gas price behaviors (1) Tipo do documento Conference Paper or Presentation (1) Ano 2010 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última Fundamentals and US natural gas price dynamics AgEcon Qin, Xiaoyan; Bessler, David A.; Leatham, David J.; Wu, Ximing; Gan, Li. Investigation into the relations between market fundamentals and US natural gas prices is carried out in the regime-switching framework. To test the hypothesis that US natural gas market may switch between two states of market: bullish market and bearish market, a 2-state regime-switching model with Markov transition chain is carried out. GARCH effects are also built into the model to account for the conditional heteroskedasticity. Short-term forecasts based on the regime-switching model are also provided. Empirical results suggest that real world natural gas price behavior is far more complicated than that predicted by fundamental models. Volatility which cannot be explained by fundamentals plays an essential role in natural gas price behavior. The major... Tipo: Conference Paper or Presentation Palavras-chave: US natural gas price behaviors; Markov-switching model; GARCH; Resource /Energy Economics and Policy. Ano: 2010 URL: http://purl.umn.edu/56501 Registros recuperados: 1 Primeira ... 1 ... Última

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