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| Author: | Root, T.H. Lien, D. |
| Title: | Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance? |
| Journal: | International Review of Financial Analysis
2003 : VOL. 12:2, p. 117-133 |
| Index terms: | Natural gas Hedging Forecasting Models |
| Language: | eng |
| Abstract: | The article investigates the appropriateness of using a threshold cointegration model of the natural gas market as the basis for hedging and forecasting. The findings suggest that the threshold model is more appropriate for longer contract length and that the threshold model does not offer much improvement in hedging or forecasting efficiency. |
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