Matches in SemOpenAlex for { <https://semopenalex.org/work/W3144810916> ?p ?o ?g. }
Showing items 1 to 63 of
63
with 100 items per page.
- W3144810916 abstract "The growing disintegration between the natural gas and oil prices, together with shale revolution and market financialization, lead to continued fundamental changes in the natural gas markets. To capture these structural changes, this paper considers a wide set of highly flexible time-varying parameter models to evaluate the out-of-sample forecasting performance of the natural gas spot prices across the US, European and Japanese markets. The results show that for both Japan and EU markets, the best forecasting performance is found when the model allows for drastic changes in the conditional mean and gradual changes in the conditional volatility. For the US market, however, no model performs systematically better than the simple auto-regressive model. Full sample estimation results further confirm that allowing t-distributed error is important in modelling the natural gas prices, especially for EU markets." @default.
- W3144810916 created "2021-04-13" @default.
- W3144810916 creator A5017698426 @default.
- W3144810916 creator A5021862101 @default.
- W3144810916 creator A5090281170 @default.
- W3144810916 date "2020-01-01" @default.
- W3144810916 modified "2023-09-27" @default.
- W3144810916 title "Forecasting Natural Gas Prices Using Highly Flexible Time-Varying Parameter Models" @default.
- W3144810916 doi "https://doi.org/10.2139/ssrn.3562074" @default.
- W3144810916 hasPublicationYear "2020" @default.
- W3144810916 type Work @default.
- W3144810916 sameAs 3144810916 @default.
- W3144810916 citedByCount "0" @default.
- W3144810916 crossrefType "journal-article" @default.
- W3144810916 hasAuthorship W3144810916A5017698426 @default.
- W3144810916 hasAuthorship W3144810916A5021862101 @default.
- W3144810916 hasAuthorship W3144810916A5090281170 @default.
- W3144810916 hasBestOaLocation W31448109162 @default.
- W3144810916 hasConcept C106159729 @default.
- W3144810916 hasConcept C106306483 @default.
- W3144810916 hasConcept C127413603 @default.
- W3144810916 hasConcept C149782125 @default.
- W3144810916 hasConcept C162324750 @default.
- W3144810916 hasConcept C175223733 @default.
- W3144810916 hasConcept C185592680 @default.
- W3144810916 hasConcept C198531522 @default.
- W3144810916 hasConcept C2779305570 @default.
- W3144810916 hasConcept C43617362 @default.
- W3144810916 hasConcept C548081761 @default.
- W3144810916 hasConcept C59427239 @default.
- W3144810916 hasConcept C91602232 @default.
- W3144810916 hasConceptScore W3144810916C106159729 @default.
- W3144810916 hasConceptScore W3144810916C106306483 @default.
- W3144810916 hasConceptScore W3144810916C127413603 @default.
- W3144810916 hasConceptScore W3144810916C149782125 @default.
- W3144810916 hasConceptScore W3144810916C162324750 @default.
- W3144810916 hasConceptScore W3144810916C175223733 @default.
- W3144810916 hasConceptScore W3144810916C185592680 @default.
- W3144810916 hasConceptScore W3144810916C198531522 @default.
- W3144810916 hasConceptScore W3144810916C2779305570 @default.
- W3144810916 hasConceptScore W3144810916C43617362 @default.
- W3144810916 hasConceptScore W3144810916C548081761 @default.
- W3144810916 hasConceptScore W3144810916C59427239 @default.
- W3144810916 hasConceptScore W3144810916C91602232 @default.
- W3144810916 hasLocation W31448109161 @default.
- W3144810916 hasLocation W31448109162 @default.
- W3144810916 hasLocation W31448109163 @default.
- W3144810916 hasOpenAccess W3144810916 @default.
- W3144810916 hasPrimaryLocation W31448109161 @default.
- W3144810916 hasRelatedWork W100051752 @default.
- W3144810916 hasRelatedWork W10419413 @default.
- W3144810916 hasRelatedWork W20733138 @default.
- W3144810916 hasRelatedWork W21683713 @default.
- W3144810916 hasRelatedWork W47810221 @default.
- W3144810916 hasRelatedWork W49260408 @default.
- W3144810916 hasRelatedWork W77127692 @default.
- W3144810916 hasRelatedWork W8847034 @default.
- W3144810916 hasRelatedWork W98651180 @default.
- W3144810916 hasRelatedWork W99555788 @default.
- W3144810916 isParatext "false" @default.
- W3144810916 isRetracted "false" @default.
- W3144810916 magId "3144810916" @default.
- W3144810916 workType "article" @default.