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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...

Persistent link: https://www.econbiz.de/10005078954

Evidence for an endogenous rebound effect impacting long-run car use elasticity to fuel price

Kemel, Emmanuel; Collet, Roger; Hivert, Laurent - In: Economics Bulletin 31 (2011) 4, pp. 2777-2786

This paper presents a structural equation model of household fleet fuel efficiency and car use. It allows to weigh the contribution of car equipment changes and car use adjustments to the price elasticity of household demand for fuel. This model is implemented using a panel dataset of 322...

Persistent link: https://www.econbiz.de/10009321770

AN APPLICATION OF MODELS OF SPECULATIVE BEHAVIOUR TO OIL PRICES

Shi, Shu-ping; Arora, Vipin - College of Business and Economics, Australian National … - 2011

We estimate three different models of speculative behaviour using oil price data. There are two major results: (i) The three-regime model of Brooks and Katsaris (2005) and a three-regime variant of van Norden and Schaller (2002) fit the oil price data reasonably well; and (ii) Both models show...

Persistent link: https://www.econbiz.de/10009643932

A Monte Carlo simulation comparing DEA, SFA and two simple approaches to combine efficiency estimates

Andor, Mark; Hesse, Frederik - Centrum für angewandte Wirtschaftsforschung, … - 2011

In certain circumstances, both researchers and policy makers are faced with the challenge of determining individual efficiency scores for each decision making unit (DMU) under consideration. In this study, we use a Monte Carlo experimentation to analyze the optimal approach to determining...

Persistent link: https://www.econbiz.de/10009369526

A New Look at Residential Electricity Demand Using Household Expenditure Data

Fell, Harrison; Li, Shanjun; Paul, Anthony - 2010

We estimate residential electricity demand for different regions of the country, assuming that consumers respond to … average electricity prices. We circumvent the need for individual billing information by developing a novel generalized method … of moments approach that allows us to estimate demand based on household electricity expenditure data from the Consumer …

Persistent link: https://www.econbiz.de/10008738916

Comparisons of Chinese and Indian Energy Consumption Forecasting Models

Arora, Vipin - In: Economics Bulletin 33 (2013) 3, pp. 2110-2121

I evaluate the out-of-sample forecasting performance of five models of Chinese and Indian energy consumption. The results are mixed, but in general the auto-regressive distributed lag and unobserved components models perform the best over multiple evaluation criteria. I then use these two models...

Persistent link: https://www.econbiz.de/10010835716

The long-run causal relationship between transport energy consumption and GDP: Evidence from heterogeneous panel methods robust to cross-sectional dependence

Liddle, Brantley; Lung, Sidney - In: Economics Letters 121 (2013) 3, pp. 524-527

This paper employs panel methods that address/mitigate heterogeneity and cross-sectional dependence to determine the direction and sign of long-run causality between transport energy consumption per capita and real GDP per capita. Granger-causality was determined to run from GDP to energy.

Persistent link: https://www.econbiz.de/10010729437

Variance risk-premia in CO2 markets

Chevallier, Julien - In: Economic Modelling 31 (2013) C, pp. 598-605

This paper proposes a new methodology to measure the volatility of CO2 assets computed as the difference between model-free implied volatility (from option prices) and model-free realized volatility (from high-frequency intraday data), coined as ‘variance risk-premia’ (Carr and Wu, 2009;...

Persistent link: https://www.econbiz.de/10010636313

Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

Chan, Kam Fong - 2016

For six important energy futures markets, this study examines whether large price movements (i.e., jumps) are related to the arrival and information content of scheduled macroeconomic announcements. Since prior studies by Kilian and Vega [(2011) Review of Economics and Statistics, 93, 660–671]...

Persistent link: https://www.econbiz.de/10012981311

Cross-Sectional Profitability of Namibian Formal Small-Scale Mining Firms in 1990

Amavilah, Voxi Heinrich S. - 2003

Namibia considers formal small-scale mining firms (FSSMFs) as an important part of the solution to the problems of high unemployment, poverty, and the diminishing role of large-scale mining firms facing the country. However, to be a solution FSSMFs must be profitable first. This paper examines...

Persistent link: https://www.econbiz.de/10014075425