Showing 1 - 10 of 18,667
Forecasting hourly electricity prices and their characteristic properties is a core challenge for energy generation companies and trading houses. The short-term marketing and purchase of electricity is usually managed with standardized products traded on different markets and with specific...
Persistent link: https://www.econbiz.de/10012660776
Forecasting hourly electricity prices and their characteristic properties is a core challenge for energy generation companies and trading houses. The short-term marketing and purchase of electricity is usually managed with standardized products traded on different markets and with specific...
Persistent link: https://www.econbiz.de/10013314042
This paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and...
Persistent link: https://www.econbiz.de/10013249671
Electricity price forecasting has become an area of increasing relevance in recent years. Despite the growing interest in predictive algorithms, the challenges are difficult to overcome given the restricted access to relevant data series and the lack of accurate metrics. Multiple models have...
Persistent link: https://www.econbiz.de/10014464238
This paper introduces residual shape risk as a new subclass of energy commodity risk. Residual shape risk is caused by insufficient liquidity of energy forward market when retail energy supplier has to hedge his short sales by a non-flexible standard baseload product available on wholesale...
Persistent link: https://www.econbiz.de/10012870378
This paper introduces residual shape risk as a new subclass of energy commodity risk. Residual shape risk is caused by insufficient liquidity of energy forward market when retail energy supplier has to hedge his short sales by a non-exible standard baseload product available on wholesale market....
Persistent link: https://www.econbiz.de/10011921450
Crude prices are subject to both demand and supply shocks. Major events and structural changes can induce large variations in intensities of the two types of shocks, as well as their magnitudes of impacts on crude price movements. This paper proposes a theoretical framework that allows us to...
Persistent link: https://www.econbiz.de/10012953525
Hedging creates value only when the policy is near optimal but can be harmful otherwise. This paper takes the US airline industry as an example and derives the optimal fuel cost hedging ratio as a function of firm-specific revenue and cost sensitivities, as well as the relative composition of...
Persistent link: https://www.econbiz.de/10012859313
In recent years, the international community has been increasing its efforts to reduce the human footprint on air pollution and global warming. Total CO2 emissions are a key component of global emissions, and as such, they are closely monitored by national and supranational entities. This study...
Persistent link: https://www.econbiz.de/10014083572
This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...
Persistent link: https://www.econbiz.de/10013243891