This paper considers how well the approach of combining forecasts extends to the context of electricity prices. With the increasing popularity of regime switching and time-varying parameter models for predicting power prices, the multi model and evolutionary considerations that usually support...

The aim of this paper is to investigate the determinants of the carbon price during the two phases of the European Union Emission Trading Scheme (EU ETS). More specifically, relying on daily EU allowance futures contracts, we test whether the carbon price drivers identified for Phase I still...

Electricity price time series usually exhibit some form of nonstationarity, corresponding to long-term behavior, one or more periodic components as well as dependence on calendar effects. As a result, modeling electricity prices requires accounting for both long-term and periodic components. In...

This paper investigates the links between price returns for 25 commodities and stocks over the period from January 2001 to November 2011, by paying a particular attention to energy raw materials. Relying on the dynamic conditional correlation (DCC) GARCH methodology, we show that the...