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Seasonality and price spikes in the European gas market

In this paper the author proposes and examines a model for the natural gas spot price and its convenience yield. Performing an empirical analysis of the European natural gas spot and futures markets, they observe that log spot prices are non-stationary, exhibit mild seasonality, and display almost continuous behaviour. In contrast, the implied convenience yield is stationary, shows strong seasonality, and experiences frequent spikes. Source: Francesco Rotondi

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