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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 531
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 163
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 113
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 47
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 Aalto University
Downloads 34
6.

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
7.

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
8.

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
9.

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
10.

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
11.

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
12.

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
13.

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
14.

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
15.

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
16.

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
17.

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
18.

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
19.

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
20.

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
21.

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
22.

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
23.

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

24.

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
25.

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
26.

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
27.

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
28.

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
29.

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
30.

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
31.

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
32.

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
33.

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
34.

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
35.

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
36.

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 (SWUFE) - Institute of Chinese Financial Studies (ICFS), Southwest Jiaotong University - School of Economics & Management and Southwest Jiaotong University - School of Economics & Management
37.

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
38.

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
39.

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
40.

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
41.

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)
42.

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
43.

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
44.

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

45.

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
46.

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
47.

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
48.

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
49.

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)
50.

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)