Transmission of price shocks from one market to another one has long been investigated in the economic literature. However, studies have namely dealt with the relationship between financial and energy markets. With the recent changes in market conditions, investors, policy-makers and interest...

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004–2011 period and the 2009–2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There are more long-run equilibrium risk...

This study estimates the causal relationship between electricity consumption and economic growth with annual data for the Commonwealth Independent States countries in three groups of income levels. Empirical results reveal that electricity consumption and GDP are cointegrated for all these...

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...

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well...

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...

This paper applies a computable general equilibrium model to investigate the impacts of a carbon tax on China's economy and carbon emissions based on China's 2010 Input–Output Table. To obtain robust simulation results, we further disaggregate the energy sectors into eight departments...

There is a large gap between the planned value of investment in a project and its financial implementation. This fact creates a mismatch between the planned and effectively achieved net present value (NPV) of the project. Considering the project portfolio of a company, this could even threaten...

Benchmarking plays a central role in the regulatory scene. Regulators set tariffs according to a performance standard and, if the companies can outperform such a standard, they can retain the gains observed by such outperformance. Efficiency performance is usually assessed by comparison (or a...

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...