The UK Market for Natural Gas, Oil and Electricity: Are the Prices Decoupled?

By Frank Asche, Petter Osmundsen, M. Sandsmark. 2006

228 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

What Drives Natural Gas Prices? (2008, result): “Similar to Asche et al (2006), our testing shows only marginal causality from natural gas to crude oil prices.”
Oil and gas markets in the UK : Evidence from a cointegrating approach (2007, methodology): “3 Differences in results with Asche et al. (2006) could stem from the inclusion of the electricity price. short-run and whether it is linear or not, and finally uses impulse response function to trace the results of shocks to the system.”
The Relationship of Natural Gas to Oil Prices (2008, background): “By contrast, Asche, Osmundsen and Sandsmark (2006), using data for the U.K., report that the prices of crude oil, natural gas and electricity are cointegrated.”
Modelling and forecasting fossil fuels, CO2 and electricity prices and their volatilities (2013, methodology): “The model described by equation (1) for e yj,t can be written as follows for the original series of prices yj,t: φ(B)∇(log(pj,t)) = θ(B)at, at ∼ NIID(0,σ(2)a), (2)”
Asymmetric and nonlinear pass-through of crude oil prices to gasoline and natural gas prices (2014, unknown): “…studies have investigated the price transmission mechanisms between oil and natural gas, but most of them focus on the investigation of the linear relations between these prices (e.g., Yucel and Guo, 1994; Asche et al., 2006; Villar and Joutz, 2006; Brown and Yucel, 2008; Hartley et al., 2008).”