In this paper, we present a straightforward economic model that explains the incentives to manipulate nodal energy prices in a “Day 2” RTO market. The model distinguishes between legitimate market participation that increases overall market efficiency and manipulative behavior that distorts...

It is crucial to model, quantify and understand the variables and dynamics that underlie the well-known extreme behaviour of spot electricity prices in wholesale markets. We explicitly model the conditional volatility and skewness of electricity prices. A GARCH-type model allowing for...

In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time series study of crude oil prices. We compare four different models and estimate them using the Markov Chain Monte Carlo method. The support for a stochastic volatility model...

As the price of crude oil doubled from June 2007 to June 2008, suspicion grew that price was being driven higher by speculation rather than fundamental supply and demand. After having seen the price drop 70 percent from its peak, this explanation may appear more plausible than ever. This paper...

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...

The paper studies the return-volatility relationship in a range of commodities. We develop a commodity price model and show that the volatility of price changes can be positively or negatively related to demand shocks. An “inverse leverage effect” – the volatility is higher following...

This paper uses real options theory to value an investment opportunity known as the Mediterranean-Dead Sea hydroelectric project. We employ a discrete time model to:-quantify simultaneous variation of three decision variables over the useful life of the project;-value options to: postpone the...

We investigate analyst forecasts in a unique setting, the natural gas storage market, and study the contributions of analysts in facilitating price discovery in futures markets. Using a high frequency database of analyst storage forecasts, we show that the market appears to strongly condition...

Objective of this paper is to gain insights into jump occurrences and to enhance the understanding of modelling jumps in electricity markets. We provide a common modelling framework that allows to incorporate the main jump patterns observed in electricity spot prices and compare the...

We reveal properties of electricity spot prices that cannot be captured by the statistical models, commonly used to model financial asset prices, that are increasingly used to model electricity prices. Using more than eight years of half-hourly spot price data from the New Zealand Electricity...