Quotation Rammerstorfer, Margarethe, Kremser, Thomas. 2016. The Convenience Yield Implied in the European Natural Gas Markets. Journal of Energy Markets. 9 (3), 27-58.


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Abstract

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 futures contracts. In a second step, we fit an exponential generalized autoregressive conditional heteroscedasticity (EGARCH) 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 considerable volatility. Further, 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 European natural gas markets.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Energy Markets
Language English
Title The Convenience Yield Implied in the European Natural Gas Markets
Volume 9
Number 3
Year 2016
Page from 27
Page to 58
Reviewed? Y
URL http://www.risk.net/journal-of-energy-markets/2466310/the-convenience-yield-implied-in-the-european-natural-gas-markets
DOI http://dx.doi.org/ 10.21314/JEM.2016.147
Open Access N

Associations

People
Rammerstorfer, Margarethe (Details)
External
Kremser, Thomas (WU Wien, Germany)
Organization
Research Institute for Regulatory Economics FI (Details)
Institute for Finance, Banking and Insurance IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5358 Corporate finances (Details)
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