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...

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...

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 a deregulated market, the decision to add generation rests with private investors. This paper evaluates how generator profits are affected by increasing wind generation. Using hourly historical data for the Irish Single Electricity Market, we simulate new series of electricity prices,...

Accurate and robust short-term load forecasting plays a significant role in electric power operations. This paper proposes a variant of genetic programming, improved by incorporating semantic awareness in algorithm, to address a short term load forecasting problem. The objective is to...

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...

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...