FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2897598090> ?p ?o ?g. }

• W2897598090 endingPage "2757" @default.
• W2897598090 startingPage "2757" @default.
• W2897598090 abstract "The paper examines both the time-varying price and volatility transmission between US natural gas and crude oil wholesale markets, over the period 1990–2017. Short iterations suggest that neither commodity determines other’s returns, but sub-periods with very short-lived causal relationships exist. It can be asserted that the markets are decoupled, where unconventional production further enhances the already established commodities’ independence. Using Momentum Threshold Autoregressive (MTAR) cointegration methodology, we find evidence of positive asymmetry from crude oil to natural gas prices, i.e., oil price increases cause faster adjustments to natural gas prices than decreases. We also find that an 1% change of oil price has positive and significantly larger long-term impact (between 0.01% to 0.02%) to the gas price, compared to the negligible impact of gas to oil. Volatility transmission is examined using the Dynamic Conditional Covariance (DCC)-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) methodology, presenting their time-varying correlation. Results show that both commodities influence each other’s volatility at the aggregate level. Finally, we conclude that both regional commodity markets are liquid and integrated, where the market fundamentals drive their price formulation. However, although markets are decoupled and not appropriate for perfect hedging of each other, the existence of bidirectional volatility transmission and their substitutability might be useful for diversified portfolio allocation." @default.
• W2897598090 created "2018-10-26" @default.
• W2897598090 creator A5021837850 @default.
• W2897598090 creator A5080107284 @default.
• W2897598090 date "2018-10-15" @default.
• W2897598090 modified "2023-09-27" @default.
• W2897598090 title "Price and Volatility Spillovers Between the US Crude Oil and Natural Gas Wholesale Markets" @default.
• W2897598090 cites W1491711721 @default.
• W2897598090 cites W1567579011 @default.
• W2897598090 cites W1727659491 @default.
• W2897598090 cites W1798822204 @default.
• W2897598090 cites W1985845508 @default.
• W2897598090 cites W1990998958 @default.
• W2897598090 cites W2018364810 @default.
• W2897598090 cites W2037989555 @default.
• W2897598090 cites W2045090642 @default.
• W2897598090 cites W2046538630 @default.
• W2897598090 cites W2059652310 @default.
• W2897598090 cites W2061839614 @default.
• W2897598090 cites W2063593194 @default.
• W2897598090 cites W2066021447 @default.
• W2897598090 cites W2086282949 @default.
• W2897598090 cites W2101039071 @default.
• W2897598090 cites W2102390267 @default.
• W2897598090 cites W2107787774 @default.
• W2897598090 cites W2110603299 @default.
• W2897598090 cites W2144380346 @default.
• W2897598090 cites W2162397513 @default.
• W2897598090 cites W2169342941 @default.
• W2897598090 cites W2176007373 @default.
• W2897598090 cites W2178225550 @default.
• W2897598090 cites W2462396312 @default.
• W2897598090 cites W2541656001 @default.
• W2897598090 cites W2553249364 @default.
• W2897598090 cites W2580130740 @default.
• W2897598090 cites W2606666502 @default.
• W2897598090 cites W3121346496 @default.
• W2897598090 cites W3124437139 @default.
• W2897598090 cites W3126017125 @default.
• W2897598090 cites W3126057320 @default.
• W2897598090 cites W4292671038 @default.
• W2897598090 cites W639877237 @default.
• W2897598090 doi "https://doi.org/10.3390/en11102757" @default.
• W2897598090 hasPublicationYear "2018" @default.
• W2897598090 type Work @default.
• W2897598090 sameAs 2897598090 @default.
• W2897598090 citedByCount "15" @default.
• W2897598090 countsByYear W28975980902019 @default.
• W2897598090 countsByYear W28975980902020 @default.
• W2897598090 countsByYear W28975980902021 @default.
• W2897598090 countsByYear W28975980902022 @default.
• W2897598090 countsByYear W28975980902023 @default.
• W2897598090 crossrefType "journal-article" @default.
• W2897598090 hasAuthorship W2897598090A5021837850 @default.
• W2897598090 hasAuthorship W2897598090A5080107284 @default.
• W2897598090 hasBestOaLocation W28975980901 @default.
• W2897598090 hasConcept C106159729 @default.
• W2897598090 hasConcept C127413603 @default.
• W2897598090 hasConcept C13290067 @default.
• W2897598090 hasConcept C145162277 @default.
• W2897598090 hasConcept C149782125 @default.
• W2897598090 hasConcept C159877910 @default.
• W2897598090 hasConcept C162324750 @default.
• W2897598090 hasConcept C178790620 @default.
• W2897598090 hasConcept C185592680 @default.
• W2897598090 hasConcept C23922673 @default.
• W2897598090 hasConcept C2779305570 @default.
• W2897598090 hasConcept C2987168347 @default.
• W2897598090 hasConcept C556758197 @default.
• W2897598090 hasConcept C59427239 @default.
• W2897598090 hasConcept C78762247 @default.
• W2897598090 hasConcept C91602232 @default.
• W2897598090 hasConceptScore W2897598090C106159729 @default.
• W2897598090 hasConceptScore W2897598090C127413603 @default.
• W2897598090 hasConceptScore W2897598090C13290067 @default.
• W2897598090 hasConceptScore W2897598090C145162277 @default.
• W2897598090 hasConceptScore W2897598090C149782125 @default.
• W2897598090 hasConceptScore W2897598090C159877910 @default.
• W2897598090 hasConceptScore W2897598090C162324750 @default.
• W2897598090 hasConceptScore W2897598090C178790620 @default.
• W2897598090 hasConceptScore W2897598090C185592680 @default.
• W2897598090 hasConceptScore W2897598090C23922673 @default.
• W2897598090 hasConceptScore W2897598090C2779305570 @default.
• W2897598090 hasConceptScore W2897598090C2987168347 @default.
• W2897598090 hasConceptScore W2897598090C556758197 @default.
• W2897598090 hasConceptScore W2897598090C59427239 @default.
• W2897598090 hasConceptScore W2897598090C78762247 @default.
• W2897598090 hasConceptScore W2897598090C91602232 @default.
• W2897598090 hasIssue "10" @default.
• W2897598090 hasLocation W28975980901 @default.
• W2897598090 hasLocation W28975980902 @default.
• W2897598090 hasLocation W28975980903 @default.
• W2897598090 hasOpenAccess W2897598090 @default.
• W2897598090 hasPrimaryLocation W28975980901 @default.
• W2897598090 hasRelatedWork W2044558159 @default.
• W2897598090 hasRelatedWork W2046538630 @default.
• W2897598090 hasRelatedWork W2066390116 @default.
• W2897598090 hasRelatedWork W2153635825 @default.

• next