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Gasoline price volatility and presidential elections in the United States: a linear model approach 汽油价格波动与美国总统选举:线性模型方法
The Journal of Energy Markets Pub Date : 2011-09-01 DOI: 10.21314/JEM.2011.062
Radin Ahmadian
{"title":"Gasoline price volatility and presidential elections in the United States: a linear model approach","authors":"Radin Ahmadian","doi":"10.21314/JEM.2011.062","DOIUrl":"https://doi.org/10.21314/JEM.2011.062","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129791079","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: 1
High-frequency oil-foreign-exchange interdependence 高频石油-外汇相互依赖
The Journal of Energy Markets Pub Date : 2011-09-01 DOI: 10.21314/JEM.2011.064
Enzo Weber
{"title":"High-frequency oil-foreign-exchange interdependence","authors":"Enzo Weber","doi":"10.21314/JEM.2011.064","DOIUrl":"https://doi.org/10.21314/JEM.2011.064","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132736666","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
Modeling and optimizing risk in the strategic gas-purchase planning problem of local distribution companies 地方分销公司战略购气计划问题的风险建模与优化
The Journal of Energy Markets Pub Date : 2011-09-01 DOI: 10.21314/JEM.2011.061
Achim Koberstein, C. Lucas, Christian Wolf, D. König
{"title":"Modeling and optimizing risk in the strategic gas-purchase planning problem of local distribution companies","authors":"Achim Koberstein, C. Lucas, Christian Wolf, D. König","doi":"10.21314/JEM.2011.061","DOIUrl":"https://doi.org/10.21314/JEM.2011.061","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124586081","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: 8
A simplified approach for optimizing hydropower generation scheduling 水电发电调度优化的简化方法
The Journal of Energy Markets Pub Date : 2011-06-19 DOI: 10.21314/JEM.2012.075
Frode Kjærland, Berner Larsen
{"title":"A simplified approach for optimizing hydropower generation scheduling","authors":"Frode Kjærland, Berner Larsen","doi":"10.21314/JEM.2012.075","DOIUrl":"https://doi.org/10.21314/JEM.2012.075","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124911493","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: 1
Oil demand and energy security in Asian countries 亚洲国家的石油需求和能源安全
The Journal of Energy Markets Pub Date : 2011-06-01 DOI: 10.21314/JEM.2011.057
C. Cho, Y. Chu, Haoyuan Yang
{"title":"Oil demand and energy security in Asian countries","authors":"C. Cho, Y. Chu, Haoyuan Yang","doi":"10.21314/JEM.2011.057","DOIUrl":"https://doi.org/10.21314/JEM.2011.057","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122045958","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: 1
The multiple-mean-reversion jump-diffusion model for Nordic electricity spot prices 北欧电力现货价格的多均值回归跳跃扩散模型
The Journal of Energy Markets Pub Date : 2011-06-01 DOI: 10.21314/JEM.2011.058
M. Jablonska, H. Nampala, T. Kauranne
{"title":"The multiple-mean-reversion jump-diffusion model for Nordic electricity spot prices","authors":"M. Jablonska, H. Nampala, T. Kauranne","doi":"10.21314/JEM.2011.058","DOIUrl":"https://doi.org/10.21314/JEM.2011.058","url":null,"abstract":"Electricity spot market prices are notoriously difficult to model, let alone predict, because of their extreme volatility. Such volatility is reflected in so-called price spikes that may increase the spot price by an order of magnitude as a matter of hours. Spot market price series are also subject to many other types of phenomena, such as periodicities at different scales, and to mean reversion. We introduce a model for electricity spot market prices that includes both spikes and mean reversion. The model is based on a jump diffusion process that is superimposed on a mean reverting Ornstein-Uhlenbeck model. Mean reversion takes place at several different time and price scales, so as to reproduce the observed behavior of spot market prices correctly. The parameters of the model are calibrated with the Nord Pool spot market hourly price series using a maximum likelihood approach. The simulated price series thus obtained very closely follows the statistical characteristics of the real price series.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130998340","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: 12
Parametric approaches to risk management for natural gas prices: an out-of-sample evaluation 天然气价格风险管理的参数化方法:样本外评价
The Journal of Energy Markets Pub Date : 2011-06-01 DOI: 10.21314/JEM.2011.059
P. Zagaglia
{"title":"Parametric approaches to risk management for natural gas prices: an out-of-sample evaluation","authors":"P. Zagaglia","doi":"10.21314/JEM.2011.059","DOIUrl":"https://doi.org/10.21314/JEM.2011.059","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"746 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130048217","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
The biased short-term futures price at Nord Pool: can it really be a risk premium? 北池有偏见的短期期货价格:真的是风险溢价吗?
The Journal of Energy Markets Pub Date : 2011-03-01 DOI: 10.21314/JEM.2011.053
O. Gjølberg, Trine-Lise Brattested
{"title":"The biased short-term futures price at Nord Pool: can it really be a risk premium?","authors":"O. Gjølberg, Trine-Lise Brattested","doi":"10.21314/JEM.2011.053","DOIUrl":"https://doi.org/10.21314/JEM.2011.053","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128181019","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: 17
Some stylized facts about high-frequency Nord Pool forward electricity prices 一些关于高频北池远期电价的程式化事实
The Journal of Energy Markets Pub Date : 2011-03-01 DOI: 10.21314/JEM.2011.052
Erik Haugom
{"title":"Some stylized facts about high-frequency Nord Pool forward electricity prices","authors":"Erik Haugom","doi":"10.21314/JEM.2011.052","DOIUrl":"https://doi.org/10.21314/JEM.2011.052","url":null,"abstract":"This paper uses high-frequency data and the concept of realized volatility to analyze the stylized properties of two of the most liquid contracts at the central data source at Nord Pool. The paper examines a number of well-known features of traditional financial assets, their returns and volatilities, such as distribution properties, serial correlation, volatility clustering, the influence of extreme events and seasonality in the various measures. The main findings suggest that financial electricity prices exhibit many of the stylized properties found in traditional financial markets, such as high excess kurtosis for short sampling intervals, strong seasonality and long memory in the serial correlation. The results also provide new insights into how realized volatility and its different components behave with respect to financial electricity prices traded at Nord Pool.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121084104","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
Transmission Capacity between Norway and Germany - a Real Options Analysis 挪威和德国之间的输电能力——一个实物期权分析
The Journal of Energy Markets Pub Date : 2011-03-01 DOI: 10.21314/JEM.2011.054
Stein-Erik Fleten, Heggedal Ane Marte, A. Siddiqui
{"title":"Transmission Capacity between Norway and Germany - a Real Options Analysis","authors":"Stein-Erik Fleten, Heggedal Ane Marte, A. Siddiqui","doi":"10.21314/JEM.2011.054","DOIUrl":"https://doi.org/10.21314/JEM.2011.054","url":null,"abstract":"Interconnection of two electricity markets provides revenues to the owner of the line. In this paper we study the alternatives open to an investor holding a unique right to construct transmission c ...","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115333994","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: 27
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