Multiscale Market Integration and Nonlinear Granger Causality between Natural Gas Futures and Physical Markets

Multiscale Market Integration and Nonlinear Granger Causality between Natural Gas Futures and Physical Markets

This paper comprehensively analyzed the price integration of the U.S. natural gas futures market and its physical markets. The analyses were conducted in the form of graphics using the ensemble empirical mode decomposition (EEMD) method and minimum spanning trees with various horizons. Our findings...

Full description

Bibliographic Details
Main Authors: Cuilin Li, Ya-Juan Du, Qiang Ji, Jiang-bo Geng
Format: Article
Language:English
Published: MDPI AG 2019-10-01
Series:Sustainability
Subjects:
natural gas market
multiscale analysis
ensemble empirical mode decomposition
minimum spanning tree
nonlinear granger causality test
Online Access:https://www.mdpi.com/2071-1050/11/19/5518

Internet

https://www.mdpi.com/2071-1050/11/19/5518

Similar Items