The Predictive Content Of Energy Futures
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Author | : Menzie David Chinn |
Publisher | : |
Total Pages | : 34 |
Release | : 2005 |
Genre | : Futures |
ISBN | : |
"This paper examines the relationship between spot and futures prices for energy commodities (crude oil, gasoline, heating oil markets and natural gas). In particular, we examine whether futures prices are (1) an unbiased and/or (2) accurate predictor of subsequent spot prices. We find that while futures prices are unbiased predictors of future spot prices, with the exception those in the natural gas markets at the 3-month horizon. Futures do not appear to well predict subsequent movements in energy commodity prices, although they slightly outperform time series models"--National Bureau of Economic Research web site.
Author | : Uğur Soytaş |
Publisher | : Routledge |
Total Pages | : 700 |
Release | : 2019-09-23 |
Genre | : Business & Economics |
ISBN | : 1315459639 |
Energy consumption and production have major influences on the economy, environment, and society, but in return they are also influenced by how the economy is structured, how the social institutions work, and how the society deals with environmental degradation. The need for integrated assessment of the relationship between energy, economy, environment, and society is clear, and this handbook offers an in-depth review of all four pillars of the energy-economy-environment-society nexus. Bringing together contributions from all over the world, this handbook includes sections devoted to each of the four pillars. Moreover, as the financialization of commodity markets has made risk analysis more complicated and intriguing, the sections also cover energy commodity markets and their links to other financial and non-financial markets. In addition, econometric modeling and the forecasting of energy needs, as well as energy prices and volatilities, are also explored. Each part emphasizes the multidisciplinary nature of the energy economics field and from this perspective, chapters offer a review of models and methods used in the literature. The Routledge Handbook of Energy Economics will be of great interest to all those studying and researching in the area of energy economics. It offers guideline suggestions for policy makers as well as for future research.
Author | : Rosario N. Mantegna |
Publisher | : Cambridge University Press |
Total Pages | : 164 |
Release | : 1999-11-13 |
Genre | : Business & Economics |
ISBN | : 1139431226 |
This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.
Author | : Ravinesh Deo |
Publisher | : Elsevier |
Total Pages | : 553 |
Release | : 2020-09-30 |
Genre | : Technology & Engineering |
ISBN | : 012817773X |
Predictive Modeling for Energy Management and Power Systems Engineering introduces readers to the cutting-edge use of big data and large computational infrastructures in energy demand estimation and power management systems. The book supports engineers and scientists who seek to become familiar with advanced optimization techniques for power systems designs, optimization techniques and algorithms for consumer power management, and potential applications of machine learning and artificial intelligence in this field. The book provides modeling theory in an easy-to-read format, verified with on-site models and case studies for specific geographic regions and complex consumer markets. - Presents advanced optimization techniques to improve existing energy demand system - Provides data-analytic models and their practical relevance in proven case studies - Explores novel developments in machine-learning and artificial intelligence applied in energy management - Provides modeling theory in an easy-to-read format
Author | : André Dorsman |
Publisher | : Springer Science & Business Media |
Total Pages | : 249 |
Release | : 2012-10-12 |
Genre | : Business & Economics |
ISBN | : 3642306012 |
Energy issues feature frequently in the economic and financial press. Specific examples of topical energy issues come from around the globe and often concern economics and finance. The importance of energy production, consumption and trade raises fundamental economic issues that impact the global economy and financial markets. This volume presents research on energy economics and financial markets related to the themes of supply and demand, environmental impact and renewables, energy derivatives trading, and finance and energy. The contributions by experts in their fields take a global perspective, as well as presenting cases from various countries and continents.
Author | : Panagiota Digkoglou |
Publisher | : EWG-DSS |
Total Pages | : 374 |
Release | : 2018-05-22 |
Genre | : Business & Economics |
ISBN | : |
Author | : Jonathan Batten |
Publisher | : Emerald Group Publishing |
Total Pages | : 446 |
Release | : 2012-07-02 |
Genre | : Business & Economics |
ISBN | : 1780526172 |
Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.
Author | : Frank J. Fabozzi |
Publisher | : John Wiley & Sons |
Total Pages | : 986 |
Release | : 2008-06-02 |
Genre | : Business & Economics |
ISBN | : 0470293209 |
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.
Author | : Sofia Ramos |
Publisher | : Springer |
Total Pages | : 315 |
Release | : 2014-08-09 |
Genre | : Business & Economics |
ISBN | : 3642553826 |
In the last decade, energy markets have developed substantially due to the growing activity of financial investors. One consequence of this massive presence of investors is a stronger link between the hitherto segmented energy and financial markets. This book addresses some of the recent developments in the interrelationship between financial and energy markets. It aims to further the understanding of the rich interplay between financial and energy markets by presenting several empirical studies that illustrate and discuss some of the main issues on this agenda.
Author | : Tao Wu |
Publisher | : DIANE Publishing |
Total Pages | : 41 |
Release | : 2010-10 |
Genre | : Technology & Engineering |
ISBN | : 1437935583 |
The authors study the effects of oil-price shocks on the U.S economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, they classify them into various event types. They then develop measures of exogenous shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had substantial and statistically significant effects during the last 25 years. In contrast, traditional vector auto-regression (VAR) approaches imply much weaker and insignificant effects for the same period. This discrepancy stems from the inability of VARs to separate exogenous oil-supply shocks from endogenous oil-price fluctuations driven by changes in oil demand. Illustrations.