Cointegration relationships among electricity, gas, oil and coal are explored using panel data models for both the industrial and household sectors in 22 countries in Europe between 1996 and 2013. A shorter period, to account for the allowances market creation in Europe is also considered...

Given the relevance of energy and pollution issues for industrialised countries and the importance of industry and energy sectors to the achievement of their economic and environmental goals, it is important to know if there is a common pattern of emissions intensity, fuel intensity and energy...

This paper estimates the relationships between bidding quantities, marginal cost and market power measures in the Spanish wholesale electricity market for two different regulatory periods: 2002–2005 and 2006–2007. Using panel econometric techniques we find differences in the impacts on...

A previous research ignores the distinction between short term and long term, and by decomposing financial variables (world general and stock market indexes) and the macroeconomic variable (oil prices) at various time scales, we study the relationship among series on a daily scale by scale...

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

In this work we analyze, explore and measure two of the most important concepts for the theory of storable commodity markets. After analyzing the statistical properties of spot and futures EU ETS allowances for Germany and France, we model and test the risk premium and convenience yield for CO2...

We investigate and empirically estimate optimal hedge ratios, for the first time, in the EU ETS carbon market. Minimum variance hedge ratios are conditionally estimated with multivariate GARCH models, and unconditionally by OLS and the naïve strategy for the European Climate Exchange (ECX)...

This paper discusses the relation of spot and futures CO<SUB align="right"><SMALL>2</SMALL></SUB> allowances, used to model and test forward premium and convenience yield (CY) concepts during 2005-2011. We analyse allowances futures from an ex-post perspective and find positive forward premia for both Phase I and Phase II and for...</small></sub>