Similar Search Results

A comparison of implied and realized volatility in the Nordic power forward market

Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy Economics 48 (2015) C, pp. 288-294

In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...

Persistent link: https://www.econbiz.de/10011208297

The forecasting accuracy of implied volatility from ECX carbon options

Viteva, Svetlana; Veld-Merkoulova, Yulia V.; Campbell, Kevin - In: Energy Economics 45 (2014) C, pp. 475-484

This study analyzes the forecasting accuracy of the implied volatility of options on futures contracts for the delivery … of CO2 emission allowances (carbon options) traded on the European Climate Exchange. We demonstrate that option implied … volatility is highly informative about the variance of returns realized over the remaining life of the options. It is also …

Persistent link: https://www.econbiz.de/10010939429

Bidirectional causality in oil and gas markets

Halova Wolfe, Marketa; Rosenman, Robert - In: Energy Economics 42 (2014) C, pp. 325-331

Do events in the natural gas market cause repercussions in the crude oil market? This paper studies linkages between the two markets using high-frequency, intraday oil and gas futures prices. By analyzing the effect of weekly oil and gas inventory announcements on price volatility, we show a...

Persistent link: https://www.econbiz.de/10010752933

Quantitative analysis of feasibility of hydrous ethanol futures contracts in Brazil

Quintino, Derick David; David, Sergio Adriani - In: Energy Economics 40 (2013) C, pp. 927-935

Brazil's first ethanol futures contract, which was implemented in 2000, failed to offer sufficient liquidity to attract market agents. The purpose of this study is to determine whether the new ethanol futures contracts launched by BMF-BOVESPA in 2010 meet the requirements to render them...

Persistent link: https://www.econbiz.de/10010718773

A utility based approach to energy hedging

Cotter, John; Hanly, Jim - In: Energy Economics 34 (2012) 3, pp. 817-827

A key issue in the estimation of energy hedges is the hedgers' attitude towards risk which is encapsulated in the form of the hedgers' utility function. However, the literature typically uses only one form of utility function such as the quadratic when estimating hedges. This paper addresses...

Persistent link: https://www.econbiz.de/10010571697

Forecasting carbon futures volatility using GARCH models with energy volatilities

Byun, Suk Joon; Cho, Hangjun - In: Energy Economics 40 (2013) C, pp. 207-221

futures prices, an implied volatility from carbon options prices, and the k-nearest neighbor model. Based on the results, we … suggests that carbon options have little information about carbon futures due to their low trading volume. We also investigate …

Persistent link: https://www.econbiz.de/10010868786

Forecasting spot price volatility using the short-term forward curve

Haugom, Erik; Ullrich, Carl J. - In: Energy Economics 34 (2012) 6, pp. 1826-1833

We use high frequency real time spot prices and day-ahead forward prices from the Pennsylvania–New Jersey–Maryland wholesale electricity market to calculate, describe, and forecast spot price volatility. We introduce the concept of forward realized volatility calculated from day-ahead...

Persistent link: https://www.econbiz.de/10010588003

Tail risk in energy portfolios

González-Pedraz, Carlos; Moreno, Manuel; Peña, Juan … - In: Energy Economics 46 (2014) C, pp. 422-434

This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to energy markets is given by a portfolio of oil, gas, coal, and electricity. To accommodate various dependence and tail decay patterns, this study models energy returns using...

Persistent link: https://www.econbiz.de/10011115893