Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance

[1]  Ton Vorst,et al.  A Threshold Error Correction Model for Intraday Futures and Index Returns , 1998 .

[2]  P. O'Connell.  Market frictions and real exchange rates , 1998 .

[3]  Clive W. J. Granger,et al.  Separation in cointegrated systems and persistent-transitory decompositions , 1998 .

[4]  Heather M. Anderson,et al.  Transaction Costs and Nonlinear Adjustment Towards Equilibrium in the US Treasury Bill Market , 1997 .

[5]  Alan M. Taylor,et al.  Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited , 1997 .

[6]  A. D. Vany,et al.  THE LAW OF ONE PRICE IN A NETWORK: ARBITRAGE AND PRICE DYNAMICS IN NATURAL GAS CITY GATE MARKETS* , 1996 .

[7]  D. Lien,et al.  The effect of the cointegration relationship on futures hedging: A note , 1996 .

[8]  Ramon Rabinovitch,et al.  Regional Limitations on the Hedging Effectiveness of Natural Gas Futures , 1995 .

[9]  W. David Walls,et al.  An Econometric Analysis of the Market for Natural Gas Futures* , 1995 .

[10]  K. Kroner,et al.  Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets , 1995, Journal of Financial and Quantitative Analysis.

[11]  J. Zakoian.  Threshold heteroskedastic models , 1994 .

[12]  Mine K. Vücel,et al.  FUEL TAXES AND COINTEGRATION OF ENERGY PRICES , 1994 .

[13]  Apostolos Serletis,et al.  A cointegration analysis of petroleum futures prices , 1994 .

[14]  Donald Lien,et al.  Estimating multiperiod hedge ratios in cointegrated markets , 1993 .

[15]  Asim Ghosh,et al.  Hedging with Stock Index Features: Estimating and Forecasting with Error Correction Model , 1993 .

[16]  Apostolos Serletis.  Unit Root Behavior in Energy Futures Prices , 1992 .

[17]  Steven Burt,et al.  THE BIGGER THEY ARE, THE HARDER THEY FALL... , 1991 .

[18]  Ruey S. Tsay,et al.  Testing and Modeling Threshold Autoregressive Processes , 1989 .

[19]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[20]  D. Lien.  Asymmetric arbitrage in futures markets: An empirical study , 1986 .

[21]  H. Tong,et al.  Threshold Autoregression, Limit Cycles and Cyclical Data , 1980 .

[22]  S. Wei,et al.  'The Bigger They are, the Harder They Fall': Retail Price Differences Across U.S. Cities , 2000 .

[23]  Hung Man Tong,et al.  Threshold models in non-linear time series analysis. Lecture notes in statistics, No.21 , 1983 .

[24]  Chi Hau Chen,et al.  Pattern recognition and signal processing , 1978 .

[25]  M. Abramovitz.  The Allocation of Economic Resources , 1959 .