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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

Optimization of the Colombian biodiesel supply chain from oil palm crop based on techno-economical and environmental criteria

Rincón, Luis E.; Valencia, Monica J.; Hernández, Valentina - In: Energy Economics 47 (2015) C, pp. 154-167

During the last years the worldwide legal framework has stimulated the biofuel development, causing their production and use to be exhaustively studied. Biodiesel has been mostly produced in European countries, but the agronomic potential of the Latin-American countries has led the effort toward...

Persistent link: https://www.econbiz.de/10011189291

The case for repeatable analysis with energy economy optimization models

DeCarolis, Joseph F.; Hunter, Kevin; Sreepathi, Sarat - In: Energy Economics 34 (2012) 6, pp. 1845-1853

Energy economy optimization (EEO) models employ formal search techniques to explore the future decision space over several decades in order to deliver policy-relevant insights. EEO models are a critical tool for decision-makers who must make near-term decisions with long-term effects in the face...

Persistent link: https://www.econbiz.de/10010588004

Futures pricing in electricity markets based on stable CARMA spot models

Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy Economics 44 (2014) C, pp. 392-406

We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increment process for the low-frequency...

Persistent link: https://www.econbiz.de/10011100070

Tail events: A new approach to understanding extreme energy commodity prices

Koch, Nicolas - In: Energy Economics 43 (2014) C, pp. 195-205

This paper shows that extreme energy price changes, located in the 10% tails of the distribution, cluster across energy futures markets during the boom–bust cycle of 2006 to 2012. Using multinominal logit regressions, we find that the coincidence of such tail events cannot be explained solely...

Persistent link: https://www.econbiz.de/10011100074

Crude oil moments and PNG stock returns

Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay - In: Energy Economics 44 (2014) C, pp. 222-235

relationships with crude skewness and kurtosis. Large cap stocks and those with a history of hedging exhibit negative loadings on … weak pricing of crude skewness, but find no evidence for the pricing of the implied higher moments of market returns. …

Persistent link: https://www.econbiz.de/10011100098

Revisiting the relationship between spot and futures prices in the Nord Pool electricity market

Weron, Rafał; Zator, Michał - In: Energy Economics 44 (2014) C, pp. 178-190

This work discusses potential pitfalls of applying linear regression models for explaining the relationship between spot and futures prices in electricity markets, in particular, the bias coming from the simultaneity problem, the effect of correlated measurement errors and the impact of...

Persistent link: https://www.econbiz.de/10011100103

The switching relationship between natural gas and crude oil prices

Brigida, Matthew - In: Energy Economics 43 (2014) C, pp. 48-55

In this analysis we more accurately capture the cointegrating relationship between natural gas and crude oil prices by endogenously incorporating shifts in the cointegrating vector into the estimation of the cointegrating equation. Specifically, we allow the cointegrating equation to switch...

Persistent link: https://www.econbiz.de/10011100134

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