Detecting Spot Price Forecasts In Futures Prices
In: The journal of business, Band 59, Heft S2, S. S39
ISSN: 1537-5374
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In: The journal of business, Band 59, Heft S2, S. S39
ISSN: 1537-5374
In this paper we analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. We use daily spot market data from the second trading period of the EU ETS. Emphasis is given to short-term forecasting of prices and volatility. Due to the characteristics of the price process, such as volatility modelling, breaks in the volatility process and heavy-tailed distributions, we investigate the use of Markov switching GARCH (MS-GARCH) models. We find that these models distinguish well between states, and that the volatility processes in the states are clearly different. Our findings support the use of MS-GARCH models for risk management, especially because their forecasting ability is better than other Markov switching or simple GARCH models.
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In: IMF Working Papers, S. 1-25
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International audience The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits the correlations structures for the two commodities. The dynamics are based on Ornstein processes with parameterized diffusion coefficients. Moreover, using the empirical distributions of the spot prices, we derive a class of such parameterized diffusions which captures the most salient statistical properties: stationarity, spikes and heavy-tailed distributions. The associated calibration procedure is based on standard and efficient statistical tools. We calibrate the model on French market for electricity and on UK market for gas, and then simulate some trajectories which reproduce well the observed prices behavior. Finally, we illustrate the importance of the correlation structure and of the presence of spikes by measuring the risk on a power plant portfolio.
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Working paper
In: The Manchester School, Band 55, Heft 1, S. 1-12
ISSN: 1467-9957
In: JRPO-D-22-01413
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In: Energy economics, Band 47, S. 98-111
ISSN: 1873-6181
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In: Schriften des Energiewirtschaftlichen Instituts 59
In: International Journal of Current Research, Vol. 8, Issue, 06, pp.33775-33779, June, 2016
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In: Nirma University Journal of Business and Management Studies, 2010
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Working paper
In: DIAS TECHNOLOGY REVIEW VOL. 10 NO. 1 APRIL - SEPTEMBER 2013
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In: Energy economics, Band 36, S. 614-624
ISSN: 1873-6181