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A comparison of implied and realized volatility in the Nordic power forward market

Birkelund, Ole Henrik; Haugom, Erik; Molnár, Peter; … - In: Energy Economics 48 (2015) C, pp. 288-294

In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series calculated from high-frequency data. The results show that the implied...

Persistent link: https://www.econbiz.de/10011208297

The forecasting accuracy of implied volatility from ECX carbon options

Viteva, Svetlana; Veld-Merkoulova, Yulia V.; Campbell, Kevin - In: Energy Economics 45 (2014) C, pp. 475-484

This study analyzes the forecasting accuracy of the implied volatility of options on futures contracts for the delivery … of CO2 emission allowances (carbon options) traded on the European Climate Exchange. We demonstrate that option implied … volatility is highly informative about the variance of returns realized over the remaining life of the options. It is also …

Persistent link: https://www.econbiz.de/10010939429

Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling

Janczura, Joanna; Trück, Stefan; Weron, Rafał; Wolff, … - In: Energy Economics 38 (2013) C, pp. 96-110

An important issue in fitting stochastic models to electricity spot prices is the estimation of a component to deal with trends and seasonality in the data. Unfortunately, estimation routines for the long-term and short-term seasonal pattern are usually quite sensitive to extreme observations,...

Persistent link: https://www.econbiz.de/10011039527

Production function with electricity consumption and its applications

Hu, Zheng; Hu, Zhaoguang - In: Energy Economics 39 (2013) C, pp. 313-321

Researchers have tried to track the pattern of economy activities for decades. Cobb–Douglas production function has been adopted for almost one hundred years, while modern economists tend to analyze the economy via the aspect of individual agents. A different perspective of reviewing...

Persistent link: https://www.econbiz.de/10011039605

Inflation Synchronization among the G7 and China : The Important Role of Oil Inflation

Elsayed, Ahmed H.; Hammoudeh, Shawkat M.; Sousa, Ricardo M. - 2021

We investigate the interconnectedness between CPI inflation in the G7 countries and China and oil price inflation over the period 1987M6-2020M6. To this end, we employ the multivariate DECO-GARCH model and both time-domain and frequency-domain spillover methods to achieve the objectives. We find...

Persistent link: https://www.econbiz.de/10013225859

Forecasting carbon futures volatility using GARCH models with energy volatilities

Byun, Suk Joon; Cho, Hangjun - In: Energy Economics 40 (2013) C, pp. 207-221

futures prices, an implied volatility from carbon options prices, and the k-nearest neighbor model. Based on the results, we … suggests that carbon options have little information about carbon futures due to their low trading volume. We also investigate …

Persistent link: https://www.econbiz.de/10010868786

Forecasting spot price volatility using the short-term forward curve

Haugom, Erik; Ullrich, Carl J. - In: Energy Economics 34 (2012) 6, pp. 1826-1833

We use high frequency real time spot prices and day-ahead forward prices from the Pennsylvania–New Jersey–Maryland wholesale electricity market to calculate, describe, and forecast spot price volatility. We introduce the concept of forward realized volatility calculated from day-ahead...

Persistent link: https://www.econbiz.de/10010588003

Tail risk in energy portfolios

González-Pedraz, Carlos; Moreno, Manuel; Peña, Juan … - In: Energy Economics 46 (2014) C, pp. 422-434

This article analyzes the tail behavior of energy price risk using a multivariate approach, in which the exposure to energy markets is given by a portfolio of oil, gas, coal, and electricity. To accommodate various dependence and tail decay patterns, this study models energy returns using...

Persistent link: https://www.econbiz.de/10011115893

Clustering in crude oil prices and the target pricing zone hypothesis

Bharati, Rakesh; Crain, Susan J.; Kaminski, Vincent - In: Energy Economics 34 (2012) 4, pp. 1115-1123

This paper studies the target pricing zone (TPZ) hypothesis for crude oil by examining price clustering in the dollar digit. It is hypothesized that price clustering occurs within an established TPZ if OPEC is able to defend the upper and lower bounds through output changes. The results show...

Persistent link: https://www.econbiz.de/10010868716

Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities

Maxwell, Christian; Davison, Matt - In: Energy Economics 42 (2014) C, pp. 140-151

Ethanol crush spreads are used to model the value of a facility which produces ethanol from corn. A real option analysis is used to investigate the effects of model parameters on the related managerial decisions of (i) how to operate the facility through optimal switching from idled to...

Persistent link: https://www.econbiz.de/10010868724