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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

Optimization of the Colombian biodiesel supply chain from oil palm crop based on techno-economical and environmental criteria

Rincón, Luis E.; Valencia, Monica J.; Hernández, Valentina - In: Energy Economics 47 (2015) C, pp. 154-167

During the last years the worldwide legal framework has stimulated the biofuel development, causing their production and use to be exhaustively studied. Biodiesel has been mostly produced in European countries, but the agronomic potential of the Latin-American countries has led the effort toward...

Persistent link: https://www.econbiz.de/10011189291

The case for repeatable analysis with energy economy optimization models

DeCarolis, Joseph F.; Hunter, Kevin; Sreepathi, Sarat - In: Energy Economics 34 (2012) 6, pp. 1845-1853

Energy economy optimization (EEO) models employ formal search techniques to explore the future decision space over several decades in order to deliver policy-relevant insights. EEO models are a critical tool for decision-makers who must make near-term decisions with long-term effects in the face...

Persistent link: https://www.econbiz.de/10010588004

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

Market efficiency and risk premia in short-term forward prices

Haugom, Erik; Ullrich, Carl J. - In: Energy Economics 34 (2012) 6, pp. 1931-1941

Using recursive estimation and rolling windows over extended sample periods we examine the time-varying relationship between spot and short-term forward prices in the Pennsylvania–New Jersey–Maryland (PJM) wholesale electricity market. We examine theoretical models of forward risk premia in...

Persistent link: https://www.econbiz.de/10010868730

Testing the Masters Hypothesis in commodity futures markets

Irwin, Scott H.; Sanders, Dwight R. - In: Energy Economics 34 (2012) 1, pp. 256-269

The ‘Masters Hypothesis’ is the claim that long-only index investment was a major driver of the 2007–2008 spike in commodity futures prices and energy futures prices in particular. Index position data compiled by the CFTC are carefully compared. In the energy markets, index position...

Persistent link: https://www.econbiz.de/10010868776

Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies

Sadorsky, Perry - In: Energy Economics 34 (2012) 1, pp. 248-255

In this paper, multivariate GARCH models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies. Four different multivariate GARCH models (BEKK, diagonal, constant conditional...

Persistent link: https://www.econbiz.de/10010868778

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