Gary Emery
Professor Emery's teaching and research interest is corporate finance with a particular focus on short-term financial management. He has presented papers at numerous academic and professional meetings and his research has been published in the Journal of Business Journal of Finance, Journal of Accounting Research, Journal of Financial and Quantitative Analysis, Journal of Futures Markets, Financial Management, and Advances in Working Capital Management, among others. His textbook, Corporate Finance: Principles and Practice is published by Addison Wesley Longman.
Articles by this Author
An Analysis of the relationship between electricity and natura-gas futures prices
- By Gary Emery
- Published 10/22/2007
- Price modeling
- Unrated
Keywords:
Published in: Journal of Futures Markets, Vol. 22, No. 2
Publication year: 2002
Co-author 1: Qingfeng Liu
This article analyzes the relationship between electricity futures prices and natural-gas futures prices. We find that the daily settlement prices of New York Mercantile Exchange’s (NYMEX’s) California–Oregon Border (COB) and Palo Verde (PV) electricity futures contracts are cointegrated with the prices of its natural-gas futures contract. The coefficient of natural-gas futures prices in our model of COB electricity futures prices is not significantly different from the coefficient of gas prices in our model of PV electricity although there are differences in the production of electricity in these two service areas. The coefficients in our model do reflect differences in the consumption of electricity in the COB and PV service areas, however. Our trading-rule simulations indicate that the statistically significant mean reversion found in the relationship between electricity and natural-gas futures prices also is economically significant in both insample and out-of-sample tests.
Published in: Journal of Futures Markets, Vol. 22, No. 2
Publication year: 2002
Co-author 1: Qingfeng Liu
This article analyzes the relationship between electricity futures prices and natural-gas futures prices. We find that the daily settlement prices of New York Mercantile Exchange’s (NYMEX’s) California–Oregon Border (COB) and Palo Verde (PV) electricity futures contracts are cointegrated with the prices of its natural-gas futures contract. The coefficient of natural-gas futures prices in our model of COB electricity futures prices is not significantly different from the coefficient of gas prices in our model of PV electricity although there are differences in the production of electricity in these two service areas. The coefficients in our model do reflect differences in the consumption of electricity in the COB and PV service areas, however. Our trading-rule simulations indicate that the statistically significant mean reversion found in the relationship between electricity and natural-gas futures prices also is economically significant in both insample and out-of-sample tests.