This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

This article is centred on the volatility of commodity prices. It presents the instruments offering a protection against volatility and shows how they can be employed. The first section exposes these derivative instruments. It distinguishes them in step with the need they respond and the way...

The French wholesale market is set to expand in the next few years under European pressure and national decisions. In this paper, we assess the forecasting ability of several classes of time series models for electricity wholesale spot prices at a day-ahead horizon in France. Electricity spot...

We examine the impact, on commodity derivative markets, of two financial crises: the Subprime crisis and the bankruptcy of Lehman Brothers. These crises are "external" for commodity markets: they appeared in the financial sphere. Still, because now commodity markets are highly integrated,...

This paper contains the first empirical application of the Dynamic Equicorrelation (DECO) model to a cross-market dataset composed of equities, bonds, foreign exchange rates and commodities during 1983-2013. The originality of our approach consists in examining the volatility equicorrelations,...

This paper examines empirically whether nonlinearities play a significant role in the modeling of the carbon price. We highlight the limits of previous carbon markets analyses based essentially on a linear econometric framework. Instead, we propose to revisit the main results on carbon pricing...

This article provides the first empirical application of the dynamic equicorrelation (DECO) model to a cross-market data set composed of equities, bonds, foreign exchange and commodity returns during 1983–2013. The results reveal that the average cross-market equicorrelation is around 47%,...