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Quantitative and Empirical Analysis of Energy Markets

Author

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  • Apostolos Serletis

    (University of Calgary, Canada)

Abstract

The revised edition of this book captures new developments in economics and finance. Turning its focus towards the application of Engle's (1982) autoregressive conditional heteroscedasticity (ARCH) in cutting-edge research and a discussion of whether energy prices reflect long memory, this book will keep readers up-to-date with current developments in the literature. It presents twenty-one empirical studies of econometric time series analysis of crude oil, natural gas and electricity markets in face of the rapidly changing dynamics of the energy markets. Amongst them, several studies employ nonlinear time series methods, unlike the standard linear approach commonly used, to reflect the nonlinear nature of the economic system. Two new chapters are included, extending beyond the leading-edge research and innovative energy markets econometrics detailed in the first edition: Chapter 17 examines the effects of oil price changes and speculations on economic activity and Chapter 20 re-evaluates empirical evidence for random walk type behavior in energy futures prices using a statistical physics approach. Contents: Crude Oil Markets: Unit Root Behaviour in Energy Futures Prices Rational Expectations, Risk and Efficiency in Energy Futures Markets Maturity Effects in Energy Futures Business Cycles and the Behavior of Energy Prices A Cointegration Analysis of Petroleum Futures Prices Natural Gas Markets: Is There an East¨CWest Split in North American Natural Gas Markets? Business Cycles and Natural Gas Prices Futures Trading and the Storage of North American Natural Gas Electricity Markets: Power Trade on the Alberta-BC Interconnection Imports, Exports, and Prices in Alberta's Deregulated Power Market Cointegration Analysis of Power Prices in the Western North American Markets Crude Oil, Natural Gas, and Electricity Markets: The Cyclical Behavior of Monthly NYMEX Energy Prices The Message in North American Energy Prices Testing for Common Features in North American Energy Markets Volatility Modelling in Energy Markets: Returns and Volatility in the NYMEX Henry Hub Natural Gas Futures Market Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets Volatility in Oil Prices and Manufacturing Activity: An Investigation of Real Options Chaos, Fractals, and Random Modulations in Energy Markets: The North American Natural Gas Liquids Markets are Chaotic Random Fractal Structures in North American Energy Markets The Hurst Exponent in Energy Futures Prices Randomly Modulated Periodic Signals in Alberta's Electricity Market Readership: Upper-level undergraduates, graduates, academics and practitioners in energy economics and applied econometrics. Key Features: A current and invaluable guide to state-of-the-art modeling techniques in energy economics Two new chapters included, one examines how oil price changes and speculations influence the economy, the other re-evaluates if energy futures prices show random walk behavior via a statistical physics approach

Suggested Citation

  • Apostolos Serletis, 2012. "Quantitative and Empirical Analysis of Energy Markets," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8624, November.
  • Handle: RePEc:wsi:wsbook:8624
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    Cited by:

    1. Drachal, Krzysztof, 2018. "Comparison between Bayesian and information-theoretic model averaging: Fossil fuels prices example," Energy Economics, Elsevier, vol. 74(C), pages 208-251.
    2. Billette de Villemeur, Etienne & Pineau, Pierre-Olivier, 2010. "Environmentally damaging electricity trade," Energy Policy, Elsevier, vol. 38(3), pages 1548-1558, March.
    3. G. Papaioannou & P. Papaioannou & N. Parliaris, 2014. "Modeling the stylized facts of wholesale system marginal price (SMP) and the impacts of regulatory reforms on the Greek Electricity Market," Papers 1401.5452, arXiv.org.
    4. Papaioannou, George P. & Dikaiakos, Christos & Dagoumas, Athanasios S. & Dramountanis, Anargyros & Papaioannou, Panagiotis G., 2018. "Detecting the impact of fundamentals and regulatory reforms on the Greek wholesale electricity market using a SARMAX/GARCH model," Energy, Elsevier, vol. 142(C), pages 1083-1103.
    5. Jogeir Myklebust & Asgeir Tomasgard & Sjur Westgaard, 2010. "Forecasting gas component prices with multivariate structural time series models," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 34(2), pages 82-106, June.

    More about this item

    Keywords

    Electricity Markets; Natural Gas Markets; Crude Oil Markets; Forecasting Energy Prices; Energy Markets Volatility; Business Cycles and Energy Prices; Common Features in Energy Markets; Codependent Cycles in Energy Markets; Volatility Modeling in Energy Markets; Chaos; Fractals; and Random Modulations in Energy Markets;

    JEL classification:

    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy
    • R15 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Econometric and Input-Output Models; Other Methods

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