Electricity price time series usually exhibit some form of nonstationarity, corresponding to long-term behavior, one or more periodic components as well as dependence on calendar effects. As a result, modeling electricity prices requires accounting for both long-term and periodic components. In...

This paper uses a Directional Distance Function (DDF) and the Malmquist–Luenberger Productivity Index to estimate the changing patterns of ‘green’ total factor productivity (GTFP) growth of 38 Chinese industrial sectors during the period 1980–2010. Unlike the measures of traditional...

We present the results of an extensive study on estimation and forecasting of the long-term seasonal component (LTSC) of electricity spot prices. We consider a battery of over 300 models, including monthly dummies and models based on Fourier or wavelet decomposition combined with linear or...

Recently, Nowotarski et al. (2013) have found that wavelet-based models for the long-term seasonal component (LTSC) are not only better in extracting the LTSC from a series of spot electricity prices but also significantly more accurate in terms of forecasting these prices up to a year ahead...

This article exploits a new spillover directional measure proposed by Diebold and Yilmaz (2009, 2012) to investigate the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during the period 2004 to 2012. Our results indicate that return...

This paper uses high frequency spot price data from eight wholesale electricity markets in Australia, Canada, and the United States to estimate realized volatility and the frequency of price spikes. I find similar levels of realized volatility in Australia and North America, with estimates...

This paper examines the relationship between biofuels, field crops and cattle prices in the U.S. from a new perspective. We focus on predictability in distribution by asking whether ethanol returns can be used to forecast different parts of field crops and cattle returns distribution, or vice...

In the last few years we have observed the deregulation in electricity markets and an increasing interest in price dynamics has been developed especially to consider all stylized facts shown by spot prices. Only few papers have considered the Italian Electricity Spot market since it has been...

Forecasts of crude oil prices' volatility are important inputs to many decision making processes in application areas such as macroeconomic policy making, risk management, options pricing, and portfolio management. Despite the fact that a large number of forecasting models have been designed to...

This paper extends previous studies by investigating the relevance of structural breaks and long memory in modeling and forecasting the conditional volatility of oil spot and futures prices using a variety of GARCH-type models. Our results can be summarized as follows. First, we provide evidence...