登入
選單
返回
Google圖書搜尋
The Convenience Yield Implied in the European Natural Gas Markets - The Impact of Storage and Weather
Thomas Reinhard Kremser
出版
SSRN
, 2014
URL
http://books.google.com.hk/books?id=ipERzwEACAAJ&hl=&source=gbs_api
註釋
This paper determines the convenience yield implied in the European natural gas markets and investigates driving factors and according dynamics. For this, we approximate the convenience yield via an option-based approach, in which the convenience yield is determined as the difference between two average floating-strike Asian options, written on the spot and the other on futures contract, respectively. In a second step, we fit an exponential GARCH model to explain the convenience yield via storage and weather, as well as other key driving factors. The empirical analysis reveals distinct results for the impact of storage, which indicates that the release of natural gas storage levels generates considerably volatility. Furthermore, we illustrate that the mixed evidence and the absence of a clear pattern to explain the convenience yield's characteristics underline the transitory state of the European natural gas market.