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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

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

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

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

Examination on the Flow Characteristic of Crude Oil : Evidence from the Risk-Neutral Moments

Chatrath, Arjun - 2018

This paper examines the information content of risk-neutral moments to explain crude oil futures returns. Implied volatility and higher moments are extracted from observed crude oil option prices using a model-free implied volatility framework and the Black-Scholes model. We find a tenuous and...

Persistent link: https://www.econbiz.de/10012937485

Bidirectional causality in oil and gas markets

Halova Wolfe, Marketa; Rosenman, Robert - In: Energy Economics 42 (2014) C, pp. 325-331

Do events in the natural gas market cause repercussions in the crude oil market? This paper studies linkages between the two markets using high-frequency, intraday oil and gas futures prices. By analyzing the effect of weekly oil and gas inventory announcements on price volatility, we show a...

Persistent link: https://www.econbiz.de/10010752933