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 the other on futures contract, respectively. In a second step, we fit an exponential GARCH 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 considerably volatility. Furthermore, 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 the European natural gas market.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
