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Journal of Energy Markets

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1.

Price Determinants in the German Intraday Market for Electricity: An Empirical Analysis

Journal of Energy Markets, 2015, EWL Working Paper No. 18/2013
Number of pages: 36 Posted: 12 Nov 2013
Accepted Paper Series
Vattenfall Europe AG
Downloads 457
2.

Electricity Futures Prices: Time Varying Sensitivity to Fundamentals

Journal of Energy Markets, 2015, IEB Working Paper N. 2014/21
Number of pages: 29 Posted: 25 Jul 2014
Working Paper Series
Norwegian University of Science and Technology (NTNU), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 137
3.

A Method of Forecasting Wholesale Electricity Market Prices

Journal of Energy Markets, 2015
Number of pages: 20 Posted: 06 Jan 2015
Accepted Paper Series
University of Technology Sydney (UTS), University of Technology, Sydney and ANU Energy Change Institute
Downloads 97
4.

The Informational Role of Spot Prices and Inventories

Journal of Energy Markets, 2015, Resources for the Future Discussion Paper No. 12-45
Number of pages: 23 Posted: 23 Oct 2012
Accepted Paper Series
Southern Methodist University (SMU) - Edwin L. Cox School of Business and Southern Methodist University (SMU) - Edwin L. Cox School of Business
Downloads 37
5.

Covered Option Strategies in Nordic Electricity Markets

Journal of Energy Markets, September 2015
Number of pages: 34 Posted: 20 Jan 2016
Accepted Paper Series
University of Vaasa and University of Vaasa
Downloads 25
6.

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
Downloads 1
7.

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
8.

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 (NTNU) - Department of Economics, University of St. Gallen and Karlsruhe Institute of Technology
Downloads 1
9.

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
10.

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
11.

Time Regularities in the Russian Power Market

Journal of Energy Markets, Vol. 7, No. 4, 2014
Number of pages: 16 Posted: 06 Jun 2016
Accepted Paper Series
NMBU School of Economics and Business
Downloads 1
12.

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
13.

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
14.

A Structural Linkage Model for Freight Rates

Journal of Energy Markets, Vol. 7, No. 3, 2014
Number of pages: 16 Posted: 06 Jun 2016
Accepted Paper Series
Kyoto University - Graduate School of Advanced Integrated Studies in Human Survivability (GSAIS)

Multiple version iconThere are 2 versions of this paper

15.

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
Independent and RWE Group - RWE Supply & Trading GmbH
16.

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
17.

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
18.

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
19.

Carbon Price Volatility and Financial Risk Management

Journal of Energy Markets, Vol. 7, No. 1, 2014
Number of pages: 20 Posted: 06 Jun 2016
Accepted Paper Series
York University - Schulich School of Business
20.

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
21.

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
22.

Electricity Retailers’ Behavior in a Highly Competitive Nordic Electricity Market

Journal of Energy Markets, Vol. 7, No. 4, 2014
Number of pages: 30 Posted: 06 Jun 2016
Accepted Paper Series
Norwegian University of Life Sciences (NMBU) and University of Maryland - Department of Civil and Environmental Engineering
23.

Evaluating the Effects of Changing Market Parameters and Policy Implications in the German Electricity Market

Journal of Energy Markets, Vol. 7, No. 2, 2014
Number of pages: 34 Posted: 06 Jun 2016
Accepted Paper Series
Bergische Universitat Wuppertal and Bergische Universitat Wuppertal
24.

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
25.

Exchange Rates, Oil Prices and Electricity Spot Prices: Empirical Insights from European Union Markets

Journal of Energy Markets, Vol. 7, No. 2, 2014
Number of pages: 32 Posted: 06 Jun 2016
Working Paper Series
Imperial College London and Imperial College London
26.

Extreme Dependence Between China's Oil Market and the World Oil Market: Empirical Evidence and Implications

Journal of Energy Markets, Vol. 7, No. 1, 2014
Number of pages: 28 Posted: 06 Jun 2016
Working Paper Series
Southwestern University of Finance and Economics, Southwest Jiao Tong University - School of Economics & Management and Southwest Jiao Tong University - School of Economics & Management
27.

Hedging Crude Oil Derivatives in GARCH-Type Models

Journal of Energy Markets, Vol. 7, No. 1, 2014
Number of pages: 24 Posted: 06 Jun 2016
Working Paper Series
City University London, Barclays Securities and University of Glasgow
28.

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
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.

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
31.

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)
32.

Models for Short-Term Forecasting of Spike Occurrences in Australian Electricity Markets: A Comparative Study

Journal of Energy Markets, Vol. 7, No. 1, 2014
Number of pages: 28 Posted: 06 Jun 2016
Working Paper Series
Maastricht University, Universitat zu Koln, Universitat zu Koln and Maastricht University
33.

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
34.

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

35.

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
36.

Optimal Timing of Wind Farm Repowering: A Two-Factor Real Options Analysis

Journal of Energy Markets, Vol. 7, No. 3, 2014
Number of pages: 32 Posted: 06 Jun 2016
Accepted Paper Series
RWTH Aachen University and RWTH Aachen University
37.

Pricing and Hedging Multiasset Spread Options Using a Three-Dimensional Fourier Cosine Series Expansion Method

Journal of Energy Markets, Vol. 7, No. 2, 2014
Number of pages: 22 Posted: 06 Jun 2016
Accepted Paper Series
affiliation not provided to SSRN and E.ON Global Commodities
38.

Pricing and Hedging Options in Energy Markets Using Black-76

Journal of Energy Markets, Vol. 7, No. 2, 2014
Number of pages: 36 Posted: 06 Jun 2016
Working Paper Series
University of Oslo and University of Oslo
39.

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)
40.

Pricing and Hedging Quanto Options in Energy Markets

Journal of Energy Markets, 2015
Posted: 22 Aug 2012 Last Revised: 10 Jun 2016
Accepted Paper Series
University of Oslo, Copenhagen Business School and Norwegian School of Economics (NHH)
41.

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
42.

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
43.

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

44.

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
45.

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

46.

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
47.

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, Norwegian School of Economics (NHH) - Department of Business and Management Science and University of Castilla-La Mancha
48.

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

49.

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
Clarion University of Pennsylvania
50.

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