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Valuation of a natural gas storage facility 天然气储存设施的估价
The Journal of Energy Markets Pub Date : 2008-12-01 DOI: 10.21314/JEM.2008.014
Mats Kjaer, Ehud I. Ronn
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引用次数: 7
Price dynamics of natural gas components: empirical evidence 天然气成分的价格动态:经验证据
The Journal of Energy Markets Pub Date : 2008-09-01 DOI: 10.21314/JEM.2008.009
Sjur Westgaard, E. Faria, Stein-Erik Fleten
{"title":"Price dynamics of natural gas components: empirical evidence","authors":"Sjur Westgaard, E. Faria, Stein-Erik Fleten","doi":"10.21314/JEM.2008.009","DOIUrl":"https://doi.org/10.21314/JEM.2008.009","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115645214","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Crude Oil Volatility Shocks and Stock Market Returns 原油波动冲击与股市回报
The Journal of Energy Markets Pub Date : 2008-09-01 DOI: 10.21314/JEM.2008.011
C. Aloui, R. Jammazi, dakhlaoui imen
{"title":"Crude Oil Volatility Shocks and Stock Market Returns","authors":"C. Aloui, R. Jammazi, dakhlaoui imen","doi":"10.21314/JEM.2008.011","DOIUrl":"https://doi.org/10.21314/JEM.2008.011","url":null,"abstract":"Using two alternative approaches, this paper attempts to shed light on the volatility spillovers between crude oil markets and major stock markets. The first approach is based on the two-step technique suggested by Cheung and Ng (1996), and the second approach is founded on a multivariate generalized autoregressive conditional heteroskedasticity (GARCH)-type process. The empirical investigations were focused on West Texas Intermediate (WTI) and Brent crude oil cash prices and six major stock indexes, covering daily frequency data for the period 1989-2007. The findings indicate that oil price volatility has, in general, a negative impact on stock market behavior. Also, some asymmetry and persistence on oil price volatility have been detected. These results are consistent with those of previous empirical studies and have many practical implications for managing international portfolios and hedging risk on international equity and crude oil markets.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128325838","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 25
Price Cap Regulation and Investment Behavior - How Real Options Can Explain Underinvestment 价格上限管制与投资行为——实物期权如何解释投资不足
The Journal of Energy Markets Pub Date : 2008-07-21 DOI: 10.21314/JEM.2008.013
T. Nagel, Margarethe Rammerstorfer
{"title":"Price Cap Regulation and Investment Behavior - How Real Options Can Explain Underinvestment","authors":"T. Nagel, Margarethe Rammerstorfer","doi":"10.21314/JEM.2008.013","DOIUrl":"https://doi.org/10.21314/JEM.2008.013","url":null,"abstract":"Motivated by frequently observed criticism of the regulatory practice arising from companies in the industries concerned, we investigate the impact of regulation on investment behavior. We analyze the investment timing and volume of a firm acting in a regulated transmission market. When capping prices, the regulatory authority imposes a ceiling on market prices. Therefore, we use a real option approach, where the cap that limits possible future firm values enters the firm's portfolio as a set of short call options, to derive an optimal pricing rule for regulators. Moreover, by calibrating our model with respect to European electricity markets, it can be shown how deviations from this optimum affect investment behavior.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130538188","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Random movements of power prices in competitive markets: a hybrid model approach 竞争市场中电价的随机变动:一种混合模型方法
The Journal of Energy Markets Pub Date : 2008-06-01 DOI: 10.21314/JEM.2008.008
Carlo Mari
{"title":"Random movements of power prices in competitive markets: a hybrid model approach","authors":"Carlo Mari","doi":"10.21314/JEM.2008.008","DOIUrl":"https://doi.org/10.21314/JEM.2008.008","url":null,"abstract":"This paper shows that electricity price dynamics in deregulated markets can be described by modeling the movements of the power margin level in a stochastic environment. We present a regime-switching approach to capture the main characteristics of electricity price dynamics within a supply-demand context: in the presence of stable periods, in which prices fluctuate around some long-run mean, and during turbulent periods, in which prices experience jumps and short-lived spikes of very large magnitude. The proposed approach is flexible enough to incorporate shortages in electricity generation, forced outages and peaks in electricity demand. The empirical analysis, performed to estimate the model on market data by maximum likelihood, offers an interesting agreement with the properties of observed logreturn distributions.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132026021","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 22
Performance of statistical arbitrage in petroleum futures markets 石油期货市场统计套利的表现
The Journal of Energy Markets Pub Date : 2008-06-01 DOI: 10.21314/JEM.2008.006
A. Alizadeh, N. Nomikos
{"title":"Performance of statistical arbitrage in petroleum futures markets","authors":"A. Alizadeh, N. Nomikos","doi":"10.21314/JEM.2008.006","DOIUrl":"https://doi.org/10.21314/JEM.2008.006","url":null,"abstract":"This paper investigates the intermarket and intercommodity linkages of petroleum and petroleum product futures markets and proposes trading strategies based on the combination of fundamental and technical analyses. These trading strategies use the cointegration between futures prices as fundamental relationships and implement technical trading rules to determine timing of long-short positions. The robustness of the trading strategies is also tested using the stationary bootstrap approach. Our results indicate that expected market prices in the relative form (spreads) incorporate inefficiencies, which can be translated to abnormal profits through appropriate trading strategies even when high levels of transaction costs (bid-ask spreads) are considered.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"131 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125682227","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Efficiency and transmission in European energy markets: a seminon-parametric approach 欧洲能源市场的效率和传输:半参数方法
The Journal of Energy Markets Pub Date : 2008-06-01 DOI: 10.21314/JEM.2008.005
P. Solibakke
{"title":"Efficiency and transmission in European energy markets: a seminon-parametric approach","authors":"P. Solibakke","doi":"10.21314/JEM.2008.005","DOIUrl":"https://doi.org/10.21314/JEM.2008.005","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"49 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130136062","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Estimating high quantiles for electricity prices by stable linear models 用稳定线性模型估计电价的高分位数
The Journal of Energy Markets Pub Date : 2008-03-01 DOI: 10.21314/JEM.2008.002
Chris Bernhardt, C. Klüppelberg, T. Meyer-Brandis
{"title":"Estimating high quantiles for electricity prices by stable linear models","authors":"Chris Bernhardt, C. Klüppelberg, T. Meyer-Brandis","doi":"10.21314/JEM.2008.002","DOIUrl":"https://doi.org/10.21314/JEM.2008.002","url":null,"abstract":"We estimate conditional and unconditional high quantiles for electricity spot prices based on a linear model with stable innovations. This approach captures the impressive peaks in such data and, as a four-parametric family captures also the asymmetry in the innovations. Moreover, it allows for explicit formulas of quantiles, which can then be calculated recursively \u0000from day to day. We also prove that conditional quantiles of step h e N converge for h→∞ to the corresponding unconditional quantiles. The paper is motivated by the daily spot prices from the Singapore New Electricity Market, which serves an example to show our method at work.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"7 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129611978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 20
Value-at-risk analysis for energy commodities: long-range dependencies and fat-tails in return innovations 能源商品的风险价值分析:长期依赖和回报创新的肥尾
The Journal of Energy Markets Pub Date : 2008-03-01 DOI: 10.21314/JEM.2008.004
C. Aloui
{"title":"Value-at-risk analysis for energy commodities: long-range dependencies and fat-tails in return innovations","authors":"C. Aloui","doi":"10.21314/JEM.2008.004","DOIUrl":"https://doi.org/10.21314/JEM.2008.004","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130269102","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Directional predictability between returns and trading volume in the futures markets of energy: insights into traders’ behavior 能源期货市场收益与交易量之间的方向性可预测性:对交易者行为的洞察
The Journal of Energy Markets Pub Date : 1900-01-01 DOI: 10.21314/jem.2021.009
Dimitrios K. Panagiotou
{"title":"Directional predictability between returns and trading volume in the futures markets of energy: insights into traders’ behavior","authors":"Dimitrios K. Panagiotou","doi":"10.21314/jem.2021.009","DOIUrl":"https://doi.org/10.21314/jem.2021.009","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"113 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127313016","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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