Energy price transmissions during extreme movements
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- Joëts, Marc, 2014. "Energy price transmissions during extreme movements," Economic Modelling, Elsevier, vol. 40(C), pages 392-399.
- Marc Joëts, 2013. "Energy price transmissions during extreme movements," Working Papers 2013-28, Department of Research, Ipag Business School.
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Citations
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Cited by:
- Huthaifa Sameeh Alqaralleh & Ahmad Al-Saraireh & Alessandra Canepa, 2021. "Energy Market Risk Management under Uncertainty: A VaR Based on Wavelet Approach," International Journal of Energy Economics and Policy, Econjournals, vol. 11(5), pages 130-137.
- Joëts, Marc, 2015.
"Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics,"
European Journal of Operational Research, Elsevier, vol. 247(1), pages 204-215.
- Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers 2013-31, Department of Research, Ipag Business School.
- Marc Joëts, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Working Papers 2013.32, Fondazione Eni Enrico Mattei.
- Marc Joëts, 2015. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Post-Print hal-01609889, HAL.
- Joëts, Marc, 2013. "Heterogeneous Beliefs, Regret, and Uncertainty: The Role of Speculation in Energy Price Dynamics," Energy: Resources and Markets 148918, Fondazione Eni Enrico Mattei (FEEM).
- Gatfaoui, Hayette, 2015.
"Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas,"
Energy Policy, Elsevier, vol. 87(C), pages 270-283.
- Hayette Gatfaoui, 2015. "Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas," Post-Print hal-01563015, HAL.
- Shen, Yifan & Shi, Xunpeng & Variam, Hari Malamakkavu Padinjare, 2018. "Risk transmission mechanism between energy markets: A VAR for VaR approach," Energy Economics, Elsevier, vol. 75(C), pages 377-388.
- Koch, Nicolas, 2014. "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 195-205.
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- Ji, Qiang & Liu, Bing-Yue & Nehler, Henrik & Uddin, Gazi Salah, 2018. "Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach," Energy Economics, Elsevier, vol. 76(C), pages 115-126.
- repec:ipg:wpaper:2013-031 is not listed on IDEAS
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More about this item
Keywords
Forward energy prices; Value-at-Risk (VaR); CAViaR approach; risk spillover; Granger causality;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2012-10-06 (Energy Economics)
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