Download Quantitative and Empirical Analysis of Energy Markets (World by Apostolos Serletis PDF

By Apostolos Serletis

Bringing jointly modern study and leading edge power markets econometrics, this e-book collects the author's most vital contemporary contributions in strength economics. particularly, the booklet: applies contemporary advances within the box of utilized econometrics to enquire a couple of matters concerning power markets, together with the speculation of garage and the effective markets speculation; offers the elemental stylized proof on strength expense hobbies utilizing correlation research, causality assessments, integration thought, cointegration conception, in addition to lately built strategies for trying out for shared and codependent cycles; and, makes use of contemporary advances within the monetary econometrics literature to version time-varying returns and volatility in strength costs and to check for causal relationships among power costs and their volatilities. It additionally explores the functioning of electrical energy markets and applies traditional types of time sequence research to enquire a few concerns concerning wholesale strength costs within the western North American markets; and applies instruments from information and dynamical structures concept to check for nonlinear dynamics and deterministic chaos in a few North American hydrocarbon markets (those of ethane, propane, common butane, iso-butane, naptha, crude oil, and typical gas).

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4: The maturity effect on crude oil 1990/2. 9. 6: The maturity effect on heating oil 1988/12. 3. 7: The maturity effect on heating oil 1989/4. 8: The maturity effect on heating oil 1990/1. 9: The maturity effect on unleaded gasoline 1987/9. 35 36 Chapter 3. 10: The maturity effect on unleaded gasoline 1988/10. 11: The maturity effect on unleaded gasoline 1989/4. 12: The maturity effect on unleaded gasoline 1990/5. 4. Conclusion 37 having degrees of freedom s and the denominator of n − r − s − 1. The roles of V AR and ln(V OL) are reversed in another F test to see whether there is a feedback relationship among these variables.

9. 6: The maturity effect on heating oil 1988/12. 3. 7: The maturity effect on heating oil 1989/4. 8: The maturity effect on heating oil 1990/1. 9: The maturity effect on unleaded gasoline 1987/9. 35 36 Chapter 3. 10: The maturity effect on unleaded gasoline 1988/10. 11: The maturity effect on unleaded gasoline 1989/4. 12: The maturity effect on unleaded gasoline 1990/5. 4. Conclusion 37 having degrees of freedom s and the denominator of n − r − s − 1. The roles of V AR and ln(V OL) are reversed in another F test to see whether there is a feedback relationship among these variables.

129 contracts in all) traded in the New York Mercantile Exchange (NYMEX): crude oil, heating oil and unleaded gas. For each contract, the daily high and how price and volume were traced from the inception of the contact to its expiry. The maturity dates range from January 1987 to July 1990. The method of measuring price variability, following Parkinson (1980) and Garman and Klass (1980), takes advantage of all readily available information in contrast to the classical approach which employs only the variance of the daily logarithmic price changes — that is V AR[ln P (t) − ln P (t − 1)], where P (t) is the closing price on day t.

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