Since oil is a non-renewable resource with a high environmental impact, and its most common use is to produce combustibles for electricity, reliable methods for modelling electricity consumption can contribute to a more rational employment of this hydrocarbon fuel. In this paper we apply the...

This study examines the nexus between precious metals (gold and silver) and oil (crude oil and heating oil) realized volatilities introducing a novel quantile extended joint connectedness framework combining quantile vector autoregression (White et al., 2015) with the extended joint...

Since oil is a non-renewable resource with a high environmental impact, and its most common use is to produce combustibles for electricity, reliable methods for modelling electricity consumption can contribute to a more rational employment of this hydrocarbon fuel. In this paper we apply the...

Since oil is a non-renewable resource with a high environmental impact, and its most common use is to produce combustibles for electricity, reliable methods for modelling electricity consumption can contribute to a more rational employment of this hydrocarbon fuel. In this paper we apply the...

The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...

This paper contributes to the ongoing discussion on price formation in electricity markets. For this, we conduct an analysis of the German electricity wholesale spot market which is located at the European Energy Exchange (EEX). Our dataset covers three spot market segments, namely the intraday...

This paper analyzes the valuation of day-ahead Physical Transmission Rights (PTRs) on the German-Dutch interconnector. From a financial perspective, PTRs are options written on the difference between the German and Dutch hourly electricity prices. We propose a model for the valuation of...

This paper proposes an extended version of the analytical structural model for the electricity market developed in a previous paper. The presented electricity price process is driven by stochastic load and random plant availability as well as stochastic marginal generation cost factors embedded...

In this paper, we propose a commodity pricing model that extends Gibson-Schwartz two-factor model to incorporate the effect of linear relations among commodity prices, which include co-integration under certain conditions. We derive futures and call option pricing formulae, and show that unlike...