This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-analytical prices for futures options entailing efficient calibration applications. By performing a...

Modelling the energy price in the Australian National Electricity Market (NEM) in a semi-structural manner calls for a multi-regional model wherein bidding is not required to be cost-based, renewable fuels and storage technology are structurally integrated, and network constraints are often...

Purpose: This paper aims to provide investors’ views on financing costs and barriers to entry into the electricity generation sector, with a focus on investors’ views on potential impacts on cost of capital from adopting nodal pricing and financial transmission rights (FTRs). The...

I examine the ability of equity market illiquidity to predict Australian macroeconomic variables, between 1976 and 2010. In contrast to existing, U.S.-based, studies, I find that stock market illiquidity does not, on average, have much predictive power over economic growth. Consistent with the...

I examine the ability of U.S. equity and bond market illiquidity to predict U.S. macroeconomic variables, between 1946 and 2010. In contrast to existing studies, I allow for illiquidity's predictive ability to be state contingent, using a Markov regime switching model. I uncover strong evidence...