Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter

References

• Asche , F , Osmundsen , P and Tveteras , R . 2001 . Market integration for natural gas in Europe . International Journal of Global Energy Issues , 16 : 300 – 12 .
   Google Scholar
• Asche , F , Osmundsen , P and Tveteras , R . 2002 . European market integration for gas? Volume flexibility and political risk . Energy Economics , 24 : 249 – 65 .
   Web of Science ®Google Scholar
• Bekaert , G and Campbell , RH . 1995 . Time-varying world market integration . The Journal of Finance , 50 : 403 – 44 .
   Web of Science ®Google Scholar
• Cuddington , JT and Wang , Z . 2004 . Assessing the integration of US natural gas spot markets: evidence from daily price data , Georgetown University . mimeo
   Google Scholar
• De Vany , AS and Walls , WD . 1995 . The Emerging New Order in Natural Gas – Market Versus Regulation , Westport, CT : Quorum Books .
   Google Scholar
• Engle , RF and Granger , CWJ . 1987 . Co-integration and error correction: representation, estimation and testing . Econometrica , 55 : 251 – 76 .
   Web of Science ®Google Scholar
• European Commission . 2005 . “ Fourth benchmarking report on the implementation of the internal electricity and gas market, COM(2004) 863 ” .
   Google Scholar
• Haldane , AG and Hall , SG . 1991 . Sterling's relationship with the Dollar and the Deutsche Mark: 1976–89 . The Economic Journal , 101 : 436 – 43 .
   Web of Science ®Google Scholar
• Harvey , AC . 1981 . Time Series Models , Exeter : Phillip Alan .
   Google Scholar
• Harvey , AC . 1982 . The Kalman filter and its applications in econometrics and time series analysis . Methods of Operations Research , 44 : 3 – 18 .
   Google Scholar
• Harvey , AC . 1989 . Forecasting, Structural Time Series Models and the Kalman Filter , Cambridge : Cambridge University Press .
   Google Scholar
• Hatemi , JA . 2002 . Is the government's intertemporal budget constraint fulfilled in Sweden? An application of the Kalman filter . Applied Economics Letters , 9 : 433 – 9 .
   Web of Science ®Google Scholar
• Johansen , S . 1995 . Likelihood-based Inference in Cointegrated Vector Autoregressive Models , Oxford : Oxford University Press .
   Google Scholar
• Kalman , RE . 1960 . A new approach to linear filtering and prediction problems, Transactions of the American Society of Mechanical Engineers . Journal of Basic Engineering, Series D , 82 : 35 – 45 .
   Google Scholar
• Kalman , RE and Bucy , RS . 1961 . New results in linear filtering and prediction theory, Transactions of the American Society of Mechanical Engineers . Journal of Basic Engineering, Series D , 83 : 95 – 108 .
   Google Scholar
• Karadeloglou , P . 1999 . Agricultural prices in transition economies: the case of Bulgaria and Slovenia . Economics of Planning , 32 : 45 – 66 .
   Google Scholar
• King , M and Cuc , M . 1996 . Price convergence in North American natural gas spot markets . The Energy Journal , 17 : 47 – 62 .
   Web of Science ®Google Scholar
• Krugman , PR and Obstfeld , M . 2003 . International Economics: Theory and Policy , 6th edn , Boston, MA : Addison-Wesley .
   Google Scholar
• Meinhold , RJ and Singpurwalla , ND . 1983 . Understanding the Kalman filter . The American Statistician , 37 : 123 – 7 .
   Web of Science ®Google Scholar
• Prazmowski , PA . 2005 . A recursive cointegration test using the Kalman filter and its application to fiscal equilibrium in the Dominican Republic . Applied Economics Letters , 12 : 155 – 60 .
   Web of Science ®Google Scholar
• Serletis , A . 1994 . A cointegration analysis of petroleum futures prices . Energy Economics , 16 : 93 – 7 .
   Web of Science ®Google Scholar
• Serletis , A and King , M . 1997 . Common stochastic trends and convergence of European Union stock markets . The Manchester School, January 1997 , 65 : 44 – 57 .
   Google Scholar
• Siliverstovs , B , L'Hegaret , G , Neumann , A and Hirschhausen , CV . 2006 . International market integration for natural gas? A cointegration analysis of prices in Europe, North America and Japan . Energy Economics , 27 : 603 – 15 .
   Web of Science ®Google Scholar
• Sul , D . 1999 . Does ex-post uncovered interest differential reflect the degrees of capital mobility? . Applied Economics Letters , 6 : 97 – 102 .
   Web of Science ®Google Scholar
• Walls , WD . 1994 . Price convergence across natural gas fields and city markets . The Energy Journal , 15 : 37 – 48 .
   Web of Science ®Google Scholar