发布求助
文献互助 智能选刊 最新文献

The Journal of Energy Markets最新文献

筛选
英文 中文
Jump-robust estimation of realized volatility in the EU emissions trading scheme 欧盟排放交易计划中已实现波动性的跳跃稳健估计
The Journal of Energy Markets Pub Date : 2010-06-01 DOI: 10.21314/JEM.2010.071
Julien Chevallier, B. Sévi
{"title":"Jump-robust estimation of realized volatility in the EU emissions trading scheme","authors":"Julien Chevallier, B. Sévi","doi":"10.21314/JEM.2010.071","DOIUrl":"https://doi.org/10.21314/JEM.2010.071","url":null,"abstract":"With the increased availability of high-frequency financial market data in recent years, the extraction of “realized” volatility (from intraday squared returns) has led to numerous theoretical developments and empirical applications for a wide range of equity and commodity markets. This paper documents the measure of realized volatility in the European Union Emissions Trading Scheme (EU ETS) with respect to the presence of microstructure noise and jumps in the estimation procedure. In order to include jumps in the modeling of CO2 intraday volatility returns, we use the bipower variation measure as well as the more recent median realized volatility estimator. To deal with microstructure noise effects we apply Awartani et al’s (2009) ZT test to the price series of CO2 intraday futures for both bipower variation and median realized volatility and identify 20-minute returns as the optimal sampling frequency. Subsequently, the empirical analysis of both bipower variation and median realized volatility measures for CO2 prices reveals the presence of around 5% of “significant” jumps, especially during the “panic-to-cash” period of October 2008 in the EU ETS, and a lower range of estimates (around [0;0.15] for bipower variation and [0;0.10] for median realized volatility) compared with the “naive” estimator (around [0;0.23]).","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"65 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124417461","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
On the pricing of emission reduction purchase agreement contracts 论减排购买协议合同的定价问题
The Journal of Energy Markets Pub Date : 2010-06-01 DOI: 10.21314/JEM.2010.041
M. Labre, C. Atkinson
{"title":"On the pricing of emission reduction purchase agreement contracts","authors":"M. Labre, C. Atkinson","doi":"10.21314/JEM.2010.041","DOIUrl":"https://doi.org/10.21314/JEM.2010.041","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114757280","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
Intradaily smoothing splines for time-varying regression models of hourly electricity loads 小时电力负荷时变回归模型的日内平滑样条
The Journal of Energy Markets Pub Date : 2010-03-01 DOI: 10.21314/JEM.2010.039
S. J. Koopman, V. Dordonnat, Marius Ooms
{"title":"Intradaily smoothing splines for time-varying regression models of hourly electricity loads","authors":"S. J. Koopman, V. Dordonnat, Marius Ooms","doi":"10.21314/JEM.2010.039","DOIUrl":"https://doi.org/10.21314/JEM.2010.039","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126752070","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
Corporate risk management in European energy markets 欧洲能源市场的企业风险管理
The Journal of Energy Markets Pub Date : 2010-03-01 DOI: 10.21314/JEM.2010.035
P. Solibakke
{"title":"Corporate risk management in European energy markets","authors":"P. Solibakke","doi":"10.21314/JEM.2010.035","DOIUrl":"https://doi.org/10.21314/JEM.2010.035","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"230 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115837545","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: 3
Modeling Nord Pool's NO1 area price 模拟北池的NO1区域价格
The Journal of Energy Markets Pub Date : 2010-03-01 DOI: 10.21314/JEM.2010.037
A. Løland, Xeni K. Dimakos
{"title":"Modeling Nord Pool's NO1 area price","authors":"A. Løland, Xeni K. Dimakos","doi":"10.21314/JEM.2010.037","DOIUrl":"https://doi.org/10.21314/JEM.2010.037","url":null,"abstract":"The Nordic electricity spot power market (Nord Pool) is divided into several price areas. The NO1 area (southern Norway) is of particular interest. It is dominated by hydropower and has experienced large deviations from the system price. Using historical data (prices, reservoir levels and transmission congestion data), we statistically investigate the historical contributors to this price spread. The water reservoir level, followed by the Elspot capacity and Elspot net capacity utilization, are found to be the most important explanatory variables. As expected, lower capacity and more flow coincide with higher price spreads.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"107 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124115460","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
Modeling and forecasting electricity consumption by functional data analysis 通过功能数据分析对用电量进行建模和预测
The Journal of Energy Markets Pub Date : 2010-03-01 DOI: 10.21314/JEM.2010.038
Jonas Andersson, J. Lillestøl
{"title":"Modeling and forecasting electricity consumption by functional data analysis","authors":"Jonas Andersson, J. Lillestøl","doi":"10.21314/JEM.2010.038","DOIUrl":"https://doi.org/10.21314/JEM.2010.038","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"109 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127097638","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
Russian gas to western Europe: a game-theoretic analysis 俄罗斯输往西欧的天然气:博弈论分析
The Journal of Energy Markets Pub Date : 2009-12-01 DOI: 10.5167/UZH-30999
P. Zweifel, Boris Krey, Sandro Schirillo
{"title":"Russian gas to western Europe: a game-theoretic analysis","authors":"P. Zweifel, Boris Krey, Sandro Schirillo","doi":"10.5167/UZH-30999","DOIUrl":"https://doi.org/10.5167/UZH-30999","url":null,"abstract":"Since the fall of the Soviet Union it has been necessary for Russia to form a coalition with at least one of the transit countries Belarus and Ukraine in order to be able to ship gas to western Europe. This paper models the gas transit game using a cooperative module to determine the bargaining power of the three countries. The bargaining power is dependent on the coalition that is achieved. In the non-cooperative module, the three countries involved decide whether or not to cooperate, with Russia using side payments to induce cooperation. On the basis of published demand and cost estimates, the predicted Nash equilibrium is the cooperative one resulting in the grand coalition. Predicted gas quantities correspond quite closely to actual 2004 and forecast 2010 and 2030 figures. The completion of the North Transgas pipeline will benefit Russia, to the detriment of the others, particularly Ukraine.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129911953","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: 5
Structural interactions of European carbon trading and energy prices 欧洲碳交易与能源价格的结构性相互作用
The Journal of Energy Markets Pub Date : 2009-12-01 DOI: 10.21314/JEM.2009.034
Carlo Fezzi, D. Bunn
{"title":"Structural interactions of European carbon trading and energy prices","authors":"Carlo Fezzi, D. Bunn","doi":"10.21314/JEM.2009.034","DOIUrl":"https://doi.org/10.21314/JEM.2009.034","url":null,"abstract":"","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131898634","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: 160
The information premium for non-storable commodities 不可储存商品的信息溢价
The Journal of Energy Markets Pub Date : 2009-09-01 DOI: 10.21314/JEM.2009.021
F. Benth, T. Meyer-Brandis
{"title":"The information premium for non-storable commodities","authors":"F. Benth, T. Meyer-Brandis","doi":"10.21314/JEM.2009.021","DOIUrl":"https://doi.org/10.21314/JEM.2009.021","url":null,"abstract":"For non-storable commodities forward looking information about market conditions is not necessarily incorporated in today’s prices, and the standard assumption that the information filtration is generated by the asset is fundamentally wrong. Electricity and weather are the typical markets we have in mind. We discuss pricing of forward contracts on non-storable commodities based on an enlargement of the information filtration. The method is able to incorporate future information of the spot, which is not accounted for in the present spot price behaviour. The notions of information drift and premium are introduced, and we argue that significant parts of the supposedly irregular market price of risk observed in electricity markets is in reality due to information miss-specification in the model. Some examples based on Brownian motion and Lévy processes and the theory of initial enlargement of filtrations are considered, where we are able to shed some insight into the nature of the information drift and premium being relevant for the electricity markets. The examples include cases where we take temperature forecasts and CO2 emission costs into account when pricing electricity forwards.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127582190","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: 82
Cointegration between gas and power spot prices 天然气和电力现货价格之间的协整关系
The Journal of Energy Markets Pub Date : 2009-09-01 DOI: 10.21314/JEM.2009.023
Cyriel de Jong, S. Schneider
{"title":"Cointegration between gas and power spot prices","authors":"Cyriel de Jong, S. Schneider","doi":"10.21314/JEM.2009.023","DOIUrl":"https://doi.org/10.21314/JEM.2009.023","url":null,"abstract":"In this paper we show how cointegration can be applied to capture the joint dynamics of multiple energy spot prices. For an example system we study the Title Transfer Facility, the Zeebrugge gas spot market and the National Balancing Point gas spot market, and, additionally, the Amsterdam Power Exchange power spot market, since these markets are strongly connected in terms of physical transportation and generation of power from gas. We develop a cointegrating multi-market model framework that is able to plausibly connect different singlemarket spot-price models. This is achieved by considering the mean-reverting spot-forward price spreads instead of spot prices only. Our analysis shows that the gas prices are strongly cointegrated, with a specific connection pattern for the markets, whereas cointegration of gas and power prices is at long-term forward price levels only.","PeriodicalId":260697,"journal":{"name":"The Journal of Energy Markets","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130345639","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: 57
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信
小红书