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Jim Hanly

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First Name:Jim
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Last Name:Hanly
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RePEc Short-ID:pha690
http://www.jimhanly.com
Room 3024 DIT Aungier Street Dublin 2 Ireland
+35314023180

Research output

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Jump to: Working papers Articles Chapters

Working papers

  1. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
  2. John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Working Papers 201106, Geary Institute, University College Dublin.
  3. John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.
  4. John Cotter & Jim Hanly, 2010. "Hedging: Scaling and the Investor Horizon," Working Papers 201002, Geary Institute, University College Dublin.
  5. Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.
  6. Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany.

Articles

  1. Jim Hanly & Lucia Morales & Damien Cassells, 2018. "The efficacy of financial futures as a hedging tool in electricity markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(1), pages 29-40, January.
  2. Chesser, Michael & Hanly, Jim & Cassells, Damien & Apergis, Nicholas, 2018. "The positive feedback cycle in the electricity market: Residential solar PV adoption, electricity demand and prices," Energy Policy, Elsevier, vol. 122(C), pages 36-44.
  3. Morales, Lucía & Hanly, Jim, 2018. "European power markets–A journey towards efficiency," Energy Policy, Elsevier, vol. 116(C), pages 78-85.
  4. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  5. Cotter, John & Hanly, Jim, 2015. "Performance of utility based hedges," Energy Economics, Elsevier, vol. 49(C), pages 718-726.
  6. Cotter, John & Hanly, Jim, 2012. "A utility based approach to energy hedging," Energy Economics, Elsevier, vol. 34(3), pages 817-827.
  7. John Cotter & Jim Hanly, 2012. "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, vol. 18(2), pages 135-147, February.
  8. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
  9. John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.

Chapters

  1. Jim Hanly, 2020. "Risk Management and Hedging Approaches in Energy Markets," World Scientific Book Chapters, in: Stéphane Goutte & Duc Khuong Nguyen (ed.),HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, chapter 26, pages 651-667, World Scientific Publishing Co. Pte. Ltd..

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.

    Cited by:

    1. Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    2. Martínez, Beatriz & Torró, Hipòlit, 2015. "European Natural Gas Seasonal Effects on Futures Hedging," Energy: Resources and Markets 198462, Fondazione Eni Enrico Mattei (FEEM).
    3. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
    4. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
    5. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
    6. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
    7. Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
    8. Martínez, Beatriz & Torró, Hipòlit, 2018. "Analysis of risk premium in UK natural gas futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 621-636.
    9. Wang, Yudong & Geng, Qianjie & Meng, Fanyi, 2019. "Futures hedging in crude oil markets: A comparison between minimum-variance and minimum-risk frameworks," Energy, Elsevier, vol. 181(C), pages 815-826.
    10. George E. Halkos & Apostolos S. Tsirivis, 2019. "Energy Commodities: A Review of Optimal Hedging Strategies," Energies, MDPI, Open Access Journal, vol. 12(20), pages 1-19, October.

  2. John Cotter & Jim Hanly, 2011. "A Utility Based Approach to Energy Hedging," Working Papers 201106, Geary Institute, University College Dublin.

    Cited by:

    1. Furió, Dolores & Torró, Hipòlit, 2020. "Optimal hedging under biased energy futures markets," Energy Economics, Elsevier, vol. 88(C).
    2. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    3. Thomas Conlon & John Cotter, 2012. "Downside risk and the energy hedger's horizon," Working Papers 201219, Geary Institute, University College Dublin.
    4. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
    5. Dinica, Mihai Cristian & Armeanu, Daniel, 2014. "The Optimal Hedging Ratio for Non-Ferrous Metals," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 105-122, March.
    6. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
    7. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
    8. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
    9. Charalampous, Georgios & Madlener, Reinhard, 2013. "Risk Management and Portfolio Optimization for Gas- and Coal-fired Power Plants in Germany: A Multivariate GARCH Approach," FCN Working Papers 23/2013, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    10. Panos K. Pouliasis & Ilias D. Visvikis & Nikos C. Papapostolou & Alexander A. Kryukov, 2020. "A novel risk management framework for natural gas markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 430-459, March.
    11. Devine, Mel & Farrell, Niall & Lee, William, 2014. "Managing investor and consumer exposure to electricity market price risks through Feed-in Tariff design," MPRA Paper 59208, University Library of Munich, Germany.
    12. Chai, Shanglei & Zhou, P., 2018. "The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems," Energy Economics, Elsevier, vol. 76(C), pages 64-75.

  3. John Cotter & Jim Hanly, 2010. "Time Varying Risk Aversion: An Application to Energy Hedging," Working Papers 201007, Geary Institute, University College Dublin.

    Cited by:

    1. Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    2. Martínez, Beatriz & Torró, Hipòlit, 2015. "European Natural Gas Seasonal Effects on Futures Hedging," Energy: Resources and Markets 198462, Fondazione Eni Enrico Mattei (FEEM).
    3. Furió, Dolores & Torró, Hipòlit, 2020. "Optimal hedging under biased energy futures markets," Energy Economics, Elsevier, vol. 88(C).
    4. Gong, Xu & Wen, Fenghua & Xia, X.H. & Huang, Jianbai & Pan, Bin, 2017. "Investigating the risk-return trade-off for crude oil futures using high-frequency data," Applied Energy, Elsevier, vol. 196(C), pages 152-161.
    5. Thomas Conlon & John Cotter, 2012. "Downside risk and the energy hedger's horizon," Working Papers 201219, Geary Institute, University College Dublin.
    6. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
    7. Cotter, John & Hanly, Jim, 2012. "A utility based approach to energy hedging," Energy Economics, Elsevier, vol. 34(3), pages 817-827.
    8. Othieno, Ferdinand & Biekpe, Nicholas, 2019. "Estimating the conditional equity risk premium in African frontier markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 538-551.
    9. George E. Halkos & Apostolos S. Tsirivis, 2019. "Energy Commodities: A Review of Optimal Hedging Strategies," Energies, MDPI, Open Access Journal, vol. 12(20), pages 1-19, October.

  4. John Cotter & Jim Hanly, 2010. "Hedging: Scaling and the Investor Horizon," Working Papers 201002, Geary Institute, University College Dublin.

    Cited by:

    1. Mara Madaleno & Carlos Pinho, 2010. "Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 3(1), pages 1-37, December.

  5. Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany.

    Cited by:

    1. Bessler, Wolfgang & Wolff, Dominik, 2014. "Hedging European government bond portfolios during the recent sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 379-399.
    2. Degiannakis, Stavros & Floros, Christos & Salvador, Enrique & Vougas, Dimitrios, 2020. "On the Stationarity of Futures Hedge Ratios," MPRA Paper 102907, University Library of Munich, Germany.
    3. Dong, Xiyong & Li, Changhong & Yoon, Seong-Min, 2020. "Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    4. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
    5. Bessler, Wolfgang & Leonhardt, Alexander & Wolff, Dominik, 2016. "Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 239-256.
    6. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
    7. Chuang, Chung-Chu & Wang, Yi-Hsien & Yeh, Tsai-Jung & Chuang, Shuo-Li, 2014. "Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios," Economic Modelling, Elsevier, vol. 42(C), pages 15-19.
    8. Jing-Yi Lai, 2012. "An empirical study of the impact of skewness and kurtosis on hedging decisions," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1827-1837, December.
    9. Luděk Benada, 2018. "Comparison of the Impact of Econometric Models on Hedging Performance by Crude Oil and Natural Gas," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(2), pages 423-429.

  6. Cotter, John & Hanly, James, 2005. "Re-evaluating Hedging Performance," MPRA Paper 3523, University Library of Munich, Germany.

    Cited by:

    1. Wagner Oliveira Monteiro & Rodrigo De Losso da Silveira Bueno, 2011. "Dynamic Hedging inMarkov Regimes Switching," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 136, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Power, Gabriel J. & Vedenov, Dmitry V., 2008. "The Shape of the Optimal Hedge Ratio: Modeling Joint Spot-Futures Prices using an Empirical Copula-GARCH Model," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37609, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    3. Sebastião, Helder & Godinho, Pedro, 2020. "Bitcoin futures: An effective tool for hedging cryptocurrencies," Finance Research Letters, Elsevier, vol. 33(C).
    4. Fei, Chengcheng & Vedenov, Dmitry & Stevens, Reid B. & Anderson, David, 2020. "Single-Commodity vs. Joint Hedging in Cattle Feeding Cycle: Is Joint Hedging Always Essential?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 0(Preprints), August.
    5. John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Working Papers 200843, Geary Institute, University College Dublin.
    6. Vera Mirovic & Dejan Zivkov & Jovan Njegic, 2017. "Construction of Commodity Portfolio and Its Hedge Effectiveness Gauging – Revisiting DCC Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(5), pages 396-422, October.
    7. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    8. Philip, Dennis & Shi, Yukun, 2016. "Optimal hedging in carbon emission markets using Markov regime switching models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 1-15.
    9. Ubukata, Masato & Watanabe, Toshiaki, 2015. "Evaluating the performance of futures hedging using multivariate realized volatility," Journal of the Japanese and International Economies, Elsevier, vol. 38(C), pages 148-171.
    10. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
    11. John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
    12. Dinica, Mihai Cristian & Armeanu, Daniel, 2014. "The Optimal Hedging Ratio for Non-Ferrous Metals," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 105-122, March.
    13. Park, Jin Suk & Shi, Yukun, 2017. "Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 176-191.
    14. Kunlapath Sukcharoen & Hankyeung Choi & David J. Leatham, 2015. "Optimal gasoline hedging strategies using futures contracts and exchange-traded funds," Applied Economics, Taylor & Francis Journals, vol. 47(32), pages 3482-3498, July.
    15. Amine Lahiani & Khaled Guesmi, 2014. "Commodity Price Correlation and Time varying Hedge Ratios," Working Papers 2014-142, Department of Research, Ipag Business School.
    16. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
    17. Hou, Yang & Holmes, Mark, 2017. "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper 82000, University Library of Munich, Germany.
    18. Daniel Doyle & Chris Groendyke, 2018. "Using Neural Networks to Price and Hedge Variable Annuity Guarantees," Risks, MDPI, Open Access Journal, vol. 7(1), pages 1-19, December.
    19. Hung, Jui-Cheng, 2015. "Evaluation of realized multi-power variations in minimum variance hedging," Economic Modelling, Elsevier, vol. 51(C), pages 672-679.
    20. Bernard, Carole & Kwak, Minsuk, 2016. "Semi-static hedging of variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 173-186.
    21. Spencer, Simon & Bredin, Don & Conlon, Thomas, 2018. "Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 1-20.

Articles

  1. Chesser, Michael & Hanly, Jim & Cassells, Damien & Apergis, Nicholas, 2018. "The positive feedback cycle in the electricity market: Residential solar PV adoption, electricity demand and prices," Energy Policy, Elsevier, vol. 122(C), pages 36-44.

    Cited by:

    1. Bolwig, Simon & Bazbauers, Gatis & Klitkou, Antje & Lund, Peter D. & Blumberga, Andra & Gravelsins, Armands & Blumberga, Dagnija, 2019. "Review of modelling energy transitions pathways with application to energy system flexibility," Renewable and Sustainable Energy Reviews, Elsevier, vol. 101(C), pages 440-452.
    2. Maheshwari, Aditya & Heleno, Miguel & Ludkovski, Michael, 2020. "The effect of rate design on power distribution reliability considering adoption of distributed energy resources," Applied Energy, Elsevier, vol. 268(C).
    3. Opoku, Richard & Obeng, George Y. & Adjei, Eunice A. & Davis, Francis & Akuffo, Fred O., 2020. "Integrated system efficiency in reducing redundancy and promoting residential renewable energy in countries without net-metering: A case study of a SHS in Ghana," Renewable Energy, Elsevier, vol. 155(C), pages 65-78.

  2. Morales, Lucía & Hanly, Jim, 2018. "European power markets–A journey towards efficiency," Energy Policy, Elsevier, vol. 116(C), pages 78-85.

    Cited by:

    1. George P. Papaioannou & Christos Dikaiakos & Akylas C. Stratigakos & Panos C. Papageorgiou & Konstantinos F. Krommydas, 2019. "Testing the Efficiency of Electricity Markets Using a New Composite Measure Based on Nonlinear TS Tools," Energies, MDPI, Open Access Journal, vol. 12(4), pages 1-30, February.

  3. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).

    Cited by:

    1. Daniel Velásquez-Gaviria & Andrés Mora-Valencia & Javier Perote, 2020. "A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets," Energies, MDPI, Open Access Journal, vol. 13(11), pages 1-42, June.
    2. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
    3. Panos K. Pouliasis & Ilias D. Visvikis & Nikos C. Papapostolou & Alexander A. Kryukov, 2020. "A novel risk management framework for natural gas markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 430-459, March.

  4. Cotter, John & Hanly, Jim, 2015. "Performance of utility based hedges," Energy Economics, Elsevier, vol. 49(C), pages 718-726.
    See citations under working paper version above.
  5. Cotter, John & Hanly, Jim, 2012. "A utility based approach to energy hedging," Energy Economics, Elsevier, vol. 34(3), pages 817-827.
    See citations under working paper version above.
  6. John Cotter & Jim Hanly, 2012. "Hedging effectiveness under conditions of asymmetry," The European Journal of Finance, Taylor & Francis Journals, vol. 18(2), pages 135-147, February.
    See citations under working paper version above.
  7. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
    See citations under working paper version above.
  8. John Cotter & Jim Hanly, 2006. "Reevaluating hedging performance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 677-702, July.
    See citations under working paper version above.

Chapters

    Sorry, no citations of chapters recorded.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (10) 2007-06-18 2010-04-17 2011-03-12 2011-04-09 2011-04-09 2011-04-09 2011-04-09 2011-07-02 2011-07-27 2014-03-15. Author is listed
  2. NEP-ENE: Energy Economics (5) 2010-04-17 2011-03-12 2011-04-09 2011-04-09 2014-03-15. Author is listed
  3. NEP-UPT: Utility Models & Prospect Theory (5) 2010-04-17 2011-03-12 2011-04-09 2011-04-09 2014-03-15. Author is listed
  4. NEP-BEC: Business Economics (2) 2011-04-09 2011-07-27
  5. NEP-FMK: Financial Markets (1) 2007-06-18
  6. NEP-MIC: Microeconomics (1) 2011-04-09

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