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Journal of Energy Markets

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1.

Technical Uncertainty in Real Options with Learning

Journal of Energy Markets, Vol. 11, No. 4, 2018
Number of pages: 24 Posted: 10 Dec 2018
Accepted Paper Series
University of Toronto - Department of Statistics, University of Oxford and University of Toronto - Department of Statistics

Multiple version iconThere are 2 versions of this paper

2.

Dynamic Delta Option Strategies in Nordic Electricity Markets

Journal of Energy Markets, Vol. 11, No. 4, 2018
Number of pages: 24 Posted: 10 Dec 2018
Accepted Paper Series
University of Vaasa
3.

Semianalytical Pricing and Hedging of Fixed and Indexed Energy Swing Contracts

Journal of Energy Markets, Vol. 11, No. 4, 2018
Number of pages: 26 Posted: 10 Dec 2018
Accepted Paper Series
Uniper Global Commodities SE, Uniper Global Commodities SE, Uniper Global Commodities SE, Uniper Global Commodities SE and Uniper Global Commodities SE
4.

A Real Option Analysis on Retiring Existing Coal-Fired Electricity Plants in the United States

Journal of Energy Markets, Forthcoming
Number of pages: 20 Posted: 16 Oct 2018
Accepted Paper Series
Illinois Institute of Technology - Stuart School of Business, University of Wisconsin - Whitewater and Bank of America - Bank of America Merrill Lynch
5.

Statistical Analysis of Photovoltaic and Wind Power Generation

Journal of Energy Markets, 11(3), 1–27,
Number of pages: 27 Posted: 31 Aug 2018
Working Paper Series
Islamic Science University of Malaysia
6.

The Iberian Electricity Market: Analysis of the Risk Premium in an Illiquid Market

Journal of Energy Markets, Vol. 11, No. 2, 2018
Number of pages: 22 Posted: 12 Jul 2018
Accepted Paper Series
University of Coimbra and Faculty of Economics - University of Coimbra
7.

An Analysis of Intraday Market Response to Crude Oil Inventory Shocks

Journal of Energy Markets, Vol. 11, No. 2, 2018
Number of pages: 36 Posted: 12 Jul 2018
Accepted Paper Series
Johns Hopkins University - Department of Applied Mathematics and Statistics and University of London - Economics, Mathematics and Statistics
Downloads 2
8.

Improving the Brazilian Electricity Market: How to Replace the Centralized Dispatch by Decentralized Market-Based Bidding

Journal of Energy Markets, Vol. 11, No. 2, 2018
Number of pages: 24 Posted: 02 Jul 2018
Accepted Paper Series
Universidade do Porto - Faculty of Engineering, Universidade do Porto - Faculty of Engineering and Universidade do Porto - Faculty of Engineering
Downloads 3
9.

Does the Impact of Exchange-Traded Funds Flows on Commodities Prices Involve Stockpiling as a Signature? An Empirical Investigation

Journal of Energy Markets, Forthcoming
Number of pages: 24 Posted: 12 Jun 2018
Accepted Paper Series
ESCP Europe and affiliation not provided to SSRN
10.

The Nordic/Baltic Spot Electric Power System Price: Univariate Nonlinear Impulse-Response Analysis

Journal of Energy Markets, Vol. 11, No. 1, 2018
Number of pages: 42 Posted: 16 Mar 2018
Accepted Paper Series
Norwegian University of Science and Technology (NTNU) - Department of Economics
Downloads 1
11.

Takeover Likelihood in the Oil and Gas Industry: Firm-Specific, Macroeconomic or Industry-Specific Causes?

Journal of Energy Markets, Vol. 11, No. 1, 2018
Number of pages: 20 Posted: 16 Mar 2018
Accepted Paper Series
University of Stavanger and University of Stavanger
Downloads 1
12.

The Impact of Unconventional Monetary Policy Shocks on the Crude Oil Futures Market

Journal of Energy Markets, Forthcoming
Number of pages: 14 Posted: 12 Feb 2018
Accepted Paper Series
University of Sousse
13.

Gas Storage Valuation Under Lévy Processes Using the Fast Fourier Transform

Journal of Energy Markets, Vol. 10, No. 4, 43–86, 2017,
Number of pages: 44 Posted: 04 Jan 2018
Accepted Paper Series
Dublin City University Business School, Gazprom Marketing & Trading and University of Limerick - Kemmy Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2
14.

Optimal Intraday Power Trading with a Gaussian Additive Process

Journal of Energy Markets, Forthcoming
Number of pages: 20 Posted: 08 Dec 2017
Accepted Paper Series
Phinergy Srls, Phinergy Srls and Department of Mathematics
Downloads 1
15.

Exploration Risk in International Oil and Gas Shareholder Returns

Journal of Energy Markets, Forthcoming
Number of pages: 22 Posted: 28 Nov 2017
Accepted Paper Series
University of Stavanger - Business School, Statoil and University of Stavanger
Downloads 1
16.

A Forward Dynamic Optimization Strategy Under Contango Storage Arbitrage with Frictions

Journal of Energy Markets, Vol. 10, No. 3, 2017
Number of pages: 28 Posted: 21 Sep 2017
Accepted Paper Series
University of Western Ontario and University of Western Ontario
17.

A Three-Factor Model on the Natural Gas Forward Curve Including Temperature Forecasts

Journal of Energy Markets, Vol. 10, No. 3, 2017
Number of pages: 20 Posted: 21 Sep 2017
Accepted Paper Series
Innology SE and RWE Group - RWE Supply & Trading GmbH
Downloads 3
18.

Risk and Abnormal Returns in Markets for Congestion Revenue Rights

Journal of Energy Markets, Vol. 10, No. 3, 2017
Number of pages: 24 Posted: 21 Sep 2017
Accepted Paper Series
Gettysburg College - Department of Economics, Government of the United States of America - Federal Energy Regulatory Commission, Government of the United States of America - Federal Energy Regulatory Commission and Government of the United States of America - Federal Energy Regulatory Commission

Multiple version iconThere are 2 versions of this paper

19.

Stochastic Modeling of Photovoltaic Power Generation and Electricity Prices

Journal of Energy Markets, Forthcoming
Number of pages: 33 Posted: 08 Sep 2017
Accepted Paper Series
University of Oslo and Islamic Science University of Malaysia
20.

Optimal Management of Green Certificates in the Swedish–Norwegian Market

Journal of Energy Markets, Forthcoming
Number of pages: 39 Posted: 15 Jun 2017
Accepted Paper Series
University of Oslo, University of Oslo and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

Multiple version iconThere are 2 versions of this paper

21.

Modeling Superior Predictors for Crude Oil Prices

Journal of Energy Markets, 10(2), 1–22 (2017),
Number of pages: 22 Posted: 10 Jun 2017
Accepted Paper Series
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, University of Stavanger, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU)
22.

Barriers for District Heating as a Source of Flexibility for the Electricity System

Journal of Energy Markets, Forthcoming
Number of pages: 19 Posted: 06 Jun 2017
Accepted Paper Series
Technical University of Denmark, Technical University of Denmark, Technical University of Denmark and Technical University of Denmark
23.

Optimal Oil Production Under Mean-Reverting Lévy Models with Regime Switching

Journal of Energy Markets, Forthcoming
Posted: 26 May 2017
Accepted Paper Series
Towson University
24.

The Application of Structural Electricity Models for Dynamic Hedging

Journal of Energy Markets, Forthcoming
Number of pages: 30 Posted: 10 Feb 2017
Accepted Paper Series
University of Duisburg-Essen - Faculty of Economic Science and University of Duisburg-Essen - Faculty of Economic Science
Downloads 1
25.

Calibration of Temperature Futures by Changing the Mean Reversion

Journal of Energy Markets, Forthcoming
Number of pages: 25 Posted: 27 Jan 2017
Accepted Paper Series
University of Oslo and University of Oslo - Department of Mathematics
Downloads 1
26.

Do Investors Price Industry Risk? Evidence from the Cross-Section of the Oil Industry

Journal of Energy Markets, Forthcoming
Number of pages: 29 Posted: 19 Jan 2017
Accepted Paper Series
ESSEC, Durham University, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and National Sun Yat-sen University
27.

Modeling Energy Spreads with a Generalized Novel Mean-Reverting Stochastic Process

Journal of Energy Markets, Forthcoming
Number of pages: 21 Posted: 13 Jan 2017
Accepted Paper Series
University of Western Ontario and University of Western Ontario
Downloads 1
28.

On the Role of Structural Breaks in Identifying the Dynamic Conditional Linkages between Stock and Commodity Markets

Journal of Energy Markets, Vol. 9, No. 4, 2016
Number of pages: 12 Posted: 23 Nov 2016
Accepted Paper Series
University of Sousse - Faculty of Economic Sciences and Management and University of Sousse - Higher Institute of Management
29.

Modeling Alberta Power Prices Through Fundamentals

Journal of Energy Markets, Vol. 9, No. 4, 2016
Number of pages: 22 Posted: 23 Nov 2016
Accepted Paper Series
University of Calgary and University of Calgary
30.

Zonal Merit-Order Effects of Wind Generation Development on Day-Ahead and Real-Time Electricity Market Prices in Texas

Journal of Energy Markets, Forthcoming
Number of pages: 31 Posted: 10 Nov 2016
Accepted Paper Series
Frontier Associates LLC, The Hong Kong Institute of Education (HKIEd) and Frontier Associates
31.

The Nordic Futures Market for Power: Finally Mature and Efficient?

Journal of Energy Markets, Forthcoming
Posted: 31 Oct 2016
Accepted Paper Series
Norwegian University of Life Sciences (UMB) - School of Economics and Business and Norwegian University of Life Sciences (UMB) - School of Economics and Business
32.

Systematic Analysis of the Evolution of Electricity and Carbon Markets Under Deep Decarbonization

Journal of Energy Markets, Vol. 9, No. 3, 2016
Number of pages: 36 Posted: 03 Sep 2016
Accepted Paper Series
Chatham House, London Business School, City University London - Sir John Cass Business School and University of Castilla-La Mancha
33.

The Determinants of Regime Switching in the Natural Gas and Crude Oil Cointegrating Relationship

Journal of Energy Markets, Forthcoming
Number of pages: 10 Posted: 17 Aug 2016
Accepted Paper Series
SUNY Polytechnic Institute
34.

An Analysis of Energy Futures

Journal of Energy Markets, Forthcoming
Number of pages: 15 Posted: 13 Aug 2016
Accepted Paper Series
Northeastern University - Finance and Insurance Area, Bryant University and Bryant University
35.

The Convenience Yield Implied in the European Natural Gas Markets: The Impact of Storage and Weather

Journal of Energy Markets, Forthcoming
Number of pages: 32 Posted: 04 Aug 2016
Accepted Paper Series
Vienna University of Economics and Business - Institute for Finance, Banking and Insurance and Vienna University of Economics and Business - Department of Corporate Finance

Multiple version iconThere are 2 versions of this paper

36.

Applications of Weather Derivatives in the Energy Market

Journal of Energy Markets, Vol. 8, No. 1, 2015
Number of pages: 18 Posted: 24 Jun 2016
Accepted Paper Series
University of Calgary and University of Calgary
37.

A Construction of Volatility Surfaces for Futures Markets

Journal of Energy Markets, Vol. 8, No. 1, 2015
Number of pages: 22 Posted: 24 Jun 2016
Accepted Paper Series
SciComp Inc., University of Chicago and University of Washington, School of Medicine, Harborview Medical Center, Cambia Palliative Care Center of Excellence
Downloads 1
38.

Pricing and Hedging Quanto Options in Energy Markets

Journal of Energy Markets, Vol. 8, No. 1, 2015
Number of pages: 36 Posted: 24 Jun 2016
Accepted Paper Series
University of Oslo - Department of Mathematics, Copenhagen Business School and Norwegian School of Economics (NHH)
39.

Crude Oil Price Volatility Spillovers into Major Equity Markets

Journal of Energy Markets, Vol. 8, No. 1, 2015
Number of pages: 20 Posted: 24 Jun 2016
Accepted Paper Series
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, Macquarie University - Department of Economics and University of Nevada, Reno - College of Business Administration - Department of Economics
40.

Two Sides of the Same Coin: Risk Measures in the Energy Markets

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 18 Posted: 14 Jun 2016
Accepted Paper Series
University of Rijeka and University of Rijeka - Faculty of Economics
41.

Probabilistic Forecasting of Medium-Term Electricity Demand: A Comparison of Time Series Models

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 20 Posted: 14 Jun 2016
Accepted Paper Series
University of Siegen and University of Siegen
42.

Static Mitigation of Volumetric Risk

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 40 Posted: 14 Jun 2016
Accepted Paper Series
ESSEC Business School and ESSEC Business School

Multiple version iconThere are 2 versions of this paper

43.

Risk Management and Portfolio Optimization for Gas- and Coal-Fired Power Plants in Germany: A Multivariate GARCH Approach

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 26 Posted: 14 Jun 2016
Accepted Paper Series
International Hellenic University (IHU) and RWTH Aachen University
44.

Managing Temperature-Driven Volume Risks

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 16 Posted: 14 Jun 2016
Accepted Paper Series
E.ON Energie Germany GmbH, Uniper Global Commodities SE, Uniper Global Commodities SE and Uniper Global Commodities SE
45.

Extreme Value Theory for Heavy Tails in Electricity Prices

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 30 Posted: 14 Jun 2016
Accepted Paper Series
Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School, University of St. Gallen and Karlsruhe Institute of Technology
Downloads 1
46.

Pricing Crude Oil Options Using Lévy Processes

Journal of Energy Markets, Vol. 9, No. 1, 2016
Number of pages: 18 Posted: 14 Jun 2016
Accepted Paper Series
University of Calgary and University of Calgary
47.

Ex Post Payoffs of a Tolling Agreement for Natural Gas-Fired Generation in Texas

Journal of Energy Markets, Vol. 9, No. 1, 2016
Number of pages: 26 Posted: 14 Jun 2016
Accepted Paper Series
Hong Kong Baptist University (HKBU), The Hong Kong Institute of Education (HKIEd) and Frontier Associates LLC
48.

A Dynamic Conditional Correlation between Commodities and the Islamic Stock Market

Journal of Energy Markets, Vol. 9, No. 1, 2016
Number of pages: 26 Posted: 14 Jun 2016
Accepted Paper Series
University of Sousse - Faculty of Economic Sciences and Management and University of Sousse - Higher Institute of Management
49.

The Forecasting Power of Medium-Term Futures Contracts

Journal of Energy Markets, Vol. 7, No. 4, 2014
Number of pages: 24 Posted: 06 Jun 2016
Accepted Paper Series
Lillehammer University College, Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), University of Stavanger and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology

Multiple version iconThere are 2 versions of this paper

50.

Modeling Natgas Intramonth Spot (Daily or 'Cash') Price Movements

Journal of Energy Markets, Vol. 7, No. 3, 2014
Number of pages: 16 Posted: 06 Jun 2016
Accepted Paper Series
University of Texas at Austin - Department of Finance