Showing 1 - 10 of 170
Inspired by the increasing evidence of financialization/speculation in commodity pricing, this paper constitutes a first attempt to build an information diffusion-based asset pricing framework for the oil futures market. With gradual information dissemination, slowly decaying uncertainty about...
Persistent link: https://www.econbiz.de/10010616827
Electricity spot prices are characterized by sudden large movements, followed a few days later by an equally large … research has suggested that the dynamics of the electricity spot prices can be accurately described by hidden Markov Regime …
Persistent link: https://www.econbiz.de/10011039507
The goals of this paper are to 1) simulate the ex-ante riskiness of purchasing a TCC, and 2) evaluate the efficiency of the TCC market in New York State to determine if there is evidence of under-pricing. Three VAR models are estimated using only market data available before the auction. This...
Persistent link: https://www.econbiz.de/10011115889
The literature on food–biofuel price volatility spillovers is growing. Published articles so far have widely ignored nonlinearities and the influence of exogenous variables on volatility patterns. This article allows for these issues when characterizing EU biodiesel industry price dynamics....
Persistent link: https://www.econbiz.de/10011208293
The aim of this paper is to show the benefit of applying a moment matching technique to the short leg component in order to price and hedge multi-asset spread options: in particular, we approximate the real dynamics of the short leg component by taking a log-normal proxy, whose equivalent...
Persistent link: https://www.econbiz.de/10010939465
— crude oil, natural gas, coal, nuclear, and renewables; and (ii) end-uses of energy services — residential and commercial … buildings, industry, and transportation. Our results show that technological improvements and energy conservation are important …
Persistent link: https://www.econbiz.de/10011100121
electricity sector, typically using constant elasticities of substitution between generation types. Detailed bottom-up electricity … models generally have embedded load duration curves with the electricity price determined by the marginal cost of generation …. This study incorporates a simple representation of electricity generation with these bottom-up features directly into the …
Persistent link: https://www.econbiz.de/10010939440
The recent deregulation of the electricity industry and reliance on competitive wholesale markets has generated … significant volatility in wholesale electricity prices. Given the importance of short-term price forecasts in this new environment … empirical results reveal three important patterns: (a) electricity price volatility is regional and the optimum volatility model …
Persistent link: https://www.econbiz.de/10010582224
energy distribution network. Specifically, we structurally test the network theory of electricity distribution of Dalgaard … the economy, measured by capital per capita, and electricity consumption per capita is governed by a simple power law with … states where they find the exponent in the power law connecting capital with electricity to be 2/3. Our results provide an …
Persistent link: https://www.econbiz.de/10011208276
Time series of electricity, petroleum products, and renewables are found to be highly correlated with total energy …
Persistent link: https://www.econbiz.de/10010868712