Predictive Performance and Bias - Evidence from Natural Gas Markets

Rammerstorfer, Margarethe and Kremser, Thomas (2017) Predictive Performance and Bias - Evidence from Natural Gas Markets. Journal of Management and Sustainability, 7 (2). pp. 1-26. ISSN 1925-4733

Available under License Creative Commons: Attribution 4.0 International (CC BY 4.0).

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This paper sheds light on the differences and similarities in natural gas trading at the National Balancing Point in the UK and the Henry Hub located in the US. For this, we analyze traders' expectations and implement a mechanical forecasting model that allows traders to predict future spot prices. Based on this, we compute the deviations between expected and realized spot prices and analyze possible reasons and dependencies with other market variables. Overall, the mechanical predictor performs well, but a small forecast error remains which can not be characterized by the explanatory variables included.

Item Type: Article
Keywords: natural gas, commodity pricing, unbiasedness, Kalman filtering, risk premium
Divisions: Departments > Finance, Accounting and Statistics > Finance, Banking and Insurance
Forschungsinstitute > Regulierungsökonomie
Version of the Document: Published
Depositing User: Gertraud Novotny
Date Deposited: 06 Jul 2017 10:27
Last Modified: 01 Aug 2020 19:03
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