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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

Examination on the Flow Characteristic of Crude Oil : Evidence from the Risk-Neutral Moments

Chatrath, Arjun - 2018

This paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied volatility framework and the Black-Scholes model. We find a tenuous and...

Persistent link: https://www.econbiz.de/10012937485

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

Clustering in crude oil prices and the target pricing zone hypothesis

Bharati, Rakesh; Crain, Susan J.; Kaminski, Vincent - In: Energy Economics 34 (2012) 4, pp. 1115-1123

This paper studies the target pricing zone (TPZ) hypothesis for crude oil by examining price clustering in the dollar digit. It is hypothesized that price clustering occurs within an established TPZ if OPEC is able to defend the upper and lower bounds through output changes. The results show...

Persistent link: https://www.econbiz.de/10010868716

Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities

Maxwell, Christian; Davison, Matt - In: Energy Economics 42 (2014) C, pp. 140-151

Ethanol crush spreads are used to model the value of a facility which produces ethanol from corn. A real option analysis is used to investigate the effects of model parameters on the related managerial decisions of (i) how to operate the facility through optimal switching from idled to...

Persistent link: https://www.econbiz.de/10010868724

Market efficiency and risk premia in short-term forward prices

Haugom, Erik; Ullrich, Carl J. - In: Energy Economics 34 (2012) 6, pp. 1931-1941

Using recursive estimation and rolling windows over extended sample periods we examine the time-varying relationship between spot and short-term forward prices in the Pennsylvania–New Jersey–Maryland (PJM) wholesale electricity market. We examine theoretical models of forward risk premia in...

Persistent link: https://www.econbiz.de/10010868730

Testing the Masters Hypothesis in commodity futures markets

Irwin, Scott H.; Sanders, Dwight R. - In: Energy Economics 34 (2012) 1, pp. 256-269

The ‘Masters Hypothesis’ is the claim that long-only index investment was a major driver of the 2007–2008 spike in commodity futures prices and energy futures prices in particular. Index position data compiled by the CFTC are carefully compared. In the energy markets, index position...

Persistent link: https://www.econbiz.de/10010868776

Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies

Sadorsky, Perry - In: Energy Economics 34 (2012) 1, pp. 248-255

In this paper, multivariate GARCH models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies. Four different multivariate GARCH models (BEKK, diagonal, constant conditional...

Persistent link: https://www.econbiz.de/10010868778

UK Gas Markets : the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts

Cartea, Álvaro - 2013

We employ the Schwartz and Smith (2000) model to explore the dynamics of the UK gas markets. We discuss in detail the short-term and long-term market prices of risk borne by the market players and how deviations from expected cyclical storage affect the short-term market price of risk. Finally,...

Persistent link: https://www.econbiz.de/10014055476