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The microstructure of the North American oil market
Kaminski, Vincent - In: Energy Economics 46 (2014) S1, pp. 1-1
Recent developments in production of oil and natural gas from the tight sand and shale rock formations (primarily hydraulic fracturing and horizontal drilling) have a profound impact on the North American energy markets. The paper reviews recent crude oil production trends and their impact on...
Persistent link: https://www.econbiz.de/10011115908
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A model for hedging load and price risk in the Texas electricity market
Coulon, Michael; Powell, Warren B.; Sircar, Ronnie - In: Energy Economics 40 (2013) C, pp. 976-988
Energy companies with commitments to meet customers' daily electricity demands face the problem of hedging load and price risk. We propose a joint model for load and price dynamics, which is motivated by the goal of facilitating optimal hedging decisions, while also intuitively capturing the key...
Persistent link: https://www.econbiz.de/10010718752
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On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets
Benth, Fred Espen; Taib, Che Mohd Imran Che - In: Energy Economics 40 (2013) C, pp. 259-268
We extend the concept of half life of an Ornstein–Uhlenbeck process to Lévy-driven continuous-time autoregressive moving average processes with stochastic volatility. The half life becomes state dependent, and we analyze its properties in terms of the characteristics of the process. An...
Persistent link: https://www.econbiz.de/10010718760
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An empirical study of the information premium on electricity markets
Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger - In: Energy Economics 36 (2013) C, pp. 55-77
Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction of emission certificates and the German “Atom Moratorium” we show...
Persistent link: https://www.econbiz.de/10011039524
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Effect of inventory announcements on crude oil price volatility
Bu, Hui - In: Energy Economics 46 (2014) C, pp. 485-494
This paper examines the behavior of crude oil futures price volatility and investigates how the EIA weekly crude oil inventory reports announcements, especially information shocks, impact crude oil price movement and volatility. This study focuses on inventory information shocks using a new...
Persistent link: https://www.econbiz.de/10011115905
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Oil prices: Breaks and trends
Noguera, José - In: Energy Economics 37 (2013) C, pp. 60-67
This paper contributes to the literature of the stationarity of financial time series and the literature on oil and macroeconomics in several ways. First, it uses Kejriwal and Perron (2010) sequential procedure to endogenously determine multiple structural changes in real oil prices without...
Persistent link: https://www.econbiz.de/10010868753
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The effect of the financial sector on the evolution of oil prices: Analysis of the contribution of the futures market to the price discovery process in the WTI spot market
Silvério, Renan; Szklo, Alexandre - In: Energy Economics 34 (2012) 6, pp. 1799-1808
in the spot market for benchmark crude oils, specifically that for West Texas Intermediate (WTI). For this purpose, we … its contribution to the price discovery process of the spot market. We modeled the relation between WTI spot and future … the contribution of future markets to the price discovery mechanism. The results show that in the case of WTI, the …
Persistent link: https://www.econbiz.de/10010868802
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Price discovery in crude oil futures
Elder, John; Miao, Hong; Ramchander, Sanjay - In: Energy Economics 46 (2014) S1, pp. 18-18
This study examines price discovery among the two most prominent price benchmarks in the market for crude oil, WTI … find that WTI maintains a dominant role in price discovery relative to Brent, with an estimated information share in excess … the millisecond. We find no evidence that the dominant role of WTI in price discovery is diminished by the price spread …
Persistent link: https://www.econbiz.de/10011115887
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Are there gains from pooling real-time oil price forecasts?
Baumeister, Christiane; Kilian, Lutz; Lee, Thomas K. - In: Energy Economics 46 (2014) S1, pp. 33-33
The answer depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years. Even more accurate forecasts, however, are obtained when allowing the forecast...
Persistent link: https://www.econbiz.de/10011115915
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FTR allocations to ease transition to nodal pricing: An application to the German power system
Kunz, Friedrich; Neuhoff, Karsten; Rosellón, Juan - In: Energy Economics 60 (2016), pp. 176-185
A shift from zonal to nodal pricing improves the efficiency of system operation. However, resulting price changes also shift surplus across generation and loads at different locations. As individual actors can lose, they might oppose any reform. We explore how allocation of financial...
Persistent link: https://www.econbiz.de/10012029103