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Baumeister, Christiane, Florian Huber, and Massimiliano Marcellino.
“Forecasting Natural Gas Prices in Real Time.”
Journal of Applied Econometrics 40, no. 1 (2025): 3–22.
doi:10.1002/jae.3013
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Busch, Chris.
“Review of EIA Natural Gas Models.”
Energy Innovation Policy and Technology LLC, 2014.
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Berrisch, Jonathan, and Florian Ziel.
“Distributional Modeling and Forecasting of Natural Gas Prices.”
Journal of Forecasting 41, no. 6 (2021): 1065–1086.
doi:10.1002/for.2853
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Rotondi, Francesco.
“Linking Futures and Options Pricing: A Seasonal Convenience Yield Approach for Natural Gas.”
Energy Economics 141 (2025): 108107.
doi:10.1016/j.eneco.2024.108107
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Nick, Sebastian, and Stefan Thoenes.
“What Drives Natural Gas Prices? — A Structural VAR Approach.”
EWI Working Paper No. 13/02, Institute of Energy Economics, University of Cologne, 2013.
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Colín Betancourt, Arturo.
“Modeling, Pricing and Hedging Derivatives on Natural Gas.”
Master’s thesis, ITAM, 2014.
These papers inform the model architecture. Key contributions:
Baumeister (BVAR + MCS dynamic selection),
Berrisch & Ziel (state-space decomposition + skewed-t distributions),
Nick & Thoenes (structural VAR with oil-gas cointegration),
Rotondi (options-implied features + seasonal convenience yield).