Stochastic process models of commodity prices are important inputs in energy investment evaluation and planning problems. In this paper, we focus on modeling and forecasting the long-term price level, since it is the dominant factor in many such applications. To provide a foundation for our...

Energy intensity has gone through different stages across Chinese regions. In this paper, we investigate the stochastic electricity-intensity convergence across the Chinese provinces. Unlike previous work, this paper highlights the relevance of the level of technology of each province and takes...

This study employs a flexible regime-switching EGARCH model with Student-t distributed error terms to investigate whether volatility regimes and basis affect the behavior of crude oil futures returns, including the conditional mean, variance, skewness, kurtosis as well as the extent of...

This article examines the volatility forecasting abilities of three approaches: GARCH-type model that uses carbon futures prices, an implied volatility from carbon options prices, and the k-nearest neighbor model. Based on the results, we document that GARCH-type models perform better than an...

In the last few years we have observed the deregulation in electricity markets and an increasing interest in price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been...

This paper provides a comprehensive nonlinear analysis of asymmetric adjustment of the dynamic relationship between energy intensity and urbanization using the time series data of 1978–2010 in China at both the national and the macro regional levels. Two sets of unit root tests are applied...

Forecasts of crude oil prices' volatility are important inputs to many decision making processes in application areas such as macroeconomic policy making, risk management, options pricing, and portfolio management. Despite the fact that a large number of forecasting models have been designed to...

According to the Rockets and Feathers Hypothesis (RFH), the transmission mechanism of positive and negative changes in the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting that downstream prices are more reactive to increases than...