Showing 1 - 10 of 64
This article proposes a mean-variance optimisation and portfolio frontier analysis of energy risk management with carbon assets, introduced in January 2005 as part of the EU Emissions Trading Scheme. In a stylised exercise, we compute returns, standard deviations and correlations for various...
Persistent link: https://www.econbiz.de/10011072739
Energy commodity prices have been rising at an unprecedented pace over the last five years. As oil supplies tighten and prices frequently break new highs, major oil companies have recently unveiled a flurry of multi-billion dollar deals for new projects whose target is not oil but natural gas....
Persistent link: https://www.econbiz.de/10011166323
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...
Persistent link: https://www.econbiz.de/10011166403
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,...
Persistent link: https://www.econbiz.de/10011205310
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,...
Persistent link: https://www.econbiz.de/10010735785
Persistent link: https://www.econbiz.de/10010861346
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...
Persistent link: https://www.econbiz.de/10010905033
This chapter summarizes several empirical studies in finance, undertaken through the prism of the graph theory. In …-year period. In such a high dimensional analysis, the graph theory enables us to understand the dynamic behavior of our price …
Persistent link: https://www.econbiz.de/10010960550
Une synthèse des questions énergétiques à travers 100 mots clés : les types de ressources énergétiques, les enjeux géopolitiques, le marché de l'énergie, les acteurs institutionnels et économiques du secteur.
Persistent link: https://www.econbiz.de/10011072587
This paper investigates the economic consequences of permits allocation rules. Following the rapid development of the Kyoto Protocol and the EU Emission Trading Scheme, it appears critical to better understand the procedure of allocation of permits between countries/firms and its distributive...
Persistent link: https://www.econbiz.de/10011073843