Journal of Energy Markets - Risk.net
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Journal of Energy MarketsLatest Issue: Volume 9, Number 4 (December 2016)
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http://www.risk.net/journal-of-energy-markets/journal/2478141/latest-issue-volume-9-number-4-december-2016
http://www.risk.net/journal-of-energy-markets/journal/2478141/latest-issue-volume-9-number-4-december-2016Wed, 23 Nov 2016 09:50:00 +0000On the role of structural breaks in identifying the dynamic conditional linkages between stock and commodity markets
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> In this paper, the authors explore the time-varying linkages between two strategic commodities covering the energy sector (crude oil and natural gas) and the QE Al Rayan Islamic Index over the period March 15, 2011–December 25, 2014. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2475580/on-the-role-of-structural-breaks-in-identifying-the-dynamic-conditional-linkages-between-stock-and-commodity-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2475580/on-the-role-of-structural-breaks-in-identifying-the-dynamic-conditional-linkages-between-stock-and-commodity-marketsWed, 23 Nov 2016 09:00:00 +0000Modeling Alberta power prices through fundamentals
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper model medium- and long-term Alberta power prices by identifying the primary price drivers and characterizing their dynamics in an engineering-based bottom-up model. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2475576/modeling-alberta-power-prices-through-fundamentals
http://www.risk.net/journal-of-energy-markets/technical-paper/2475576/modeling-alberta-power-prices-through-fundamentalsWed, 23 Nov 2016 09:00:00 +0000Zonal merit-order effects of wind generation development on day-ahead and real-time electricity market prices in Texas
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper uses a regression-based approach to explore the impact of wind generation development on wholesale electricity prices in the ERCOT market. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2475573/zonal-merit-order-effects-of-wind-generation-development-on-day-ahead-and-real-time-electricity-market-prices-in-texas
http://www.risk.net/journal-of-energy-markets/technical-paper/2475573/zonal-merit-order-effects-of-wind-generation-development-on-day-ahead-and-real-time-electricity-market-prices-in-texasThu, 10 Nov 2016 09:00:00 +0000The Nordic futures market for power: finally mature and efficient?
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper study the forecasting performance of Nordic power futures in order to see whether the futures bias reported in a number of previous studies still prevails and, if so, whether this means that the market is inefficient. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2475569/the-nordic-futures-market-for-power-finally-mature-and-efficient
http://www.risk.net/journal-of-energy-markets/technical-paper/2475569/the-nordic-futures-market-for-power-finally-mature-and-efficientMon, 31 Oct 2016 09:00:00 +0000Systematic analysis of the evolution of electricity and carbon markets under deep decarbonization
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http://www.risk.net/journal-of-energy-markets/journal-paper/2471691/systematic-analysis-of-the-evolution-of-electricity-and-carbon-markets-under-deep-decarbonization
http://www.risk.net/journal-of-energy-markets/journal-paper/2471691/systematic-analysis-of-the-evolution-of-electricity-and-carbon-markets-under-deep-decarbonizationFri, 02 Sep 2016 16:13:00 +0100Volume 9, Number 3 (September 2016)
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
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http://www.risk.net/journal-of-energy-markets/journal/2469363/latest-issue-volume-9-number-3-september-2016
http://www.risk.net/journal-of-energy-markets/journal/2469363/latest-issue-volume-9-number-3-september-2016Fri, 02 Sep 2016 10:50:00 +0100Systematic analysis of the evolution of electricity and carbon markets under deep decarbonization
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> A computationally intensive, multimethod modeling process is undertaken to address the question of whether carbon markets can offer the desired solution of balancing initiatives for technological change while maintaining a commitment to market liberalization. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2469357/systematic-analysis-of-the-evolution-of-electricity-and-carbon-markets-under-deep-decarbonization
http://www.risk.net/journal-of-energy-markets/technical-paper/2469357/systematic-analysis-of-the-evolution-of-electricity-and-carbon-markets-under-deep-decarbonizationFri, 02 Sep 2016 10:40:00 +0100The determinants of regime switching in the natural gas and crude oil cointegrating relationship
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http://www.risk.net/journal-of-energy-markets/journal-paper/2471666/the-determinants-of-regime-switching-in-the-natural-gas-and-crude-oil-cointegrating-relationship
http://www.risk.net/journal-of-energy-markets/journal-paper/2471666/the-determinants-of-regime-switching-in-the-natural-gas-and-crude-oil-cointegrating-relationshipWed, 17 Aug 2016 16:08:00 +0100The determinants of regime switching in the natural gas and crude oil cointegrating relationship
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper aims to find determinants of the endogenous regime-switching process underlying the cointegrating relationship between natural gas and crude oil. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2467288/the-determinants-of-regime-switching-in-the-natural-gas-and-crude-oil-cointegrating-relationship
http://www.risk.net/journal-of-energy-markets/technical-paper/2467288/the-determinants-of-regime-switching-in-the-natural-gas-and-crude-oil-cointegrating-relationshipWed, 17 Aug 2016 11:30:00 +0100An analysis of energy futures
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http://www.risk.net/journal-of-energy-markets/journal-paper/2471675/an-analysis-of-energy-futures
http://www.risk.net/journal-of-energy-markets/journal-paper/2471675/an-analysis-of-energy-futuresFri, 12 Aug 2016 16:17:00 +0100An analysis of energy futures
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this study investigate the distributions of returns on crude oil, heating oil and natural gas futures. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2466315/an-analysis-of-energy-futures
http://www.risk.net/journal-of-energy-markets/technical-paper/2466315/an-analysis-of-energy-futuresFri, 12 Aug 2016 11:50:00 +0100The convenience yield implied in the European natural gas markets: the impact of storage and weather
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http://www.risk.net/journal-of-energy-markets/journal-paper/2471682/the-convenience-yield-implied-in-the-european-natural-gas-markets-the-impact-of-storage-and-weather
http://www.risk.net/journal-of-energy-markets/journal-paper/2471682/the-convenience-yield-implied-in-the-european-natural-gas-markets-the-impact-of-storage-and-weatherThu, 04 Aug 2016 16:21:00 +0100The convenience yield implied in the European natural gas markets: the impact of storage and weather
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper aims to determine the convenience yield implied in the European natural gas markets by investigating driving factors and according dynamics. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2466310/the-convenience-yield-implied-in-the-european-natural-gas-markets-the-impact-of-storage-and-weather
http://www.risk.net/journal-of-energy-markets/technical-paper/2466310/the-convenience-yield-implied-in-the-european-natural-gas-markets-the-impact-of-storage-and-weatherThu, 04 Aug 2016 13:00:00 +0100Volume 9, Number 2 (June 2016)
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The papers in this issue are all related to energy risk management, including both risk assessment and risk hedging by financial derivatives. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2457997/latest-issue-volume-9-number-2-june-2016
http://www.risk.net/journal-of-energy-markets/journal/2457997/latest-issue-volume-9-number-2-june-2016Wed, 01 Jun 2016 13:50:00 +0100Static mitigation of volumetric risk
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper formulates a functional optimization problem over a set of regular payoff functions to deal with the joint mitigation of combined price–volume risk using purely financial tools.
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http://www.risk.net/journal-of-energy-markets/technical-paper/2457758/static-mitigation-of-volumetric-risk
http://www.risk.net/journal-of-energy-markets/technical-paper/2457758/static-mitigation-of-volumetric-riskWed, 01 Jun 2016 11:25:00 +0100Managing temperature-driven volume risks
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper proposes a stochastic model for coupled natural gas spot prices and temperature. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2457756/managing-temperature-driven-volume-risks
http://www.risk.net/journal-of-energy-markets/technical-paper/2457756/managing-temperature-driven-volume-risksThu, 26 May 2016 10:43:00 +0100Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper investigates the hedging effectiveness of energy derivatives traded at the EEX for the purpose of mitigating the risk exposure of gas- and coal-fired power plants in Germany. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2457755/risk-management-and-portfolio-optimization-for-gas-and-coal-fired-power-plants-in-germany-a-multivariate-garch-approach
http://www.risk.net/journal-of-energy-markets/technical-paper/2457755/risk-management-and-portfolio-optimization-for-gas-and-coal-fired-power-plants-in-germany-a-multivariate-garch-approachThu, 19 May 2016 14:00:00 +0100Two sides of the same coin: risk measures in the energy markets
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper investigates whether there are existing common model features that yield consistently superior results under both VaR and ES risk metrics in the energy commodities markets. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2457287/two-sides-of-the-same-coin-risk-measures-in-the-energy-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2457287/two-sides-of-the-same-coin-risk-measures-in-the-energy-marketsThu, 12 May 2016 14:50:00 +0100Extreme value theory for heavy tails in electricity prices
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper looks at hourly spot prices at the German electricity market and applies extreme value theory (EVT) to investigate the tails of the price change distribution. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2455973/extreme-value-theory-for-heavy-tails-in-electricity-prices
http://www.risk.net/journal-of-energy-markets/technical-paper/2455973/extreme-value-theory-for-heavy-tails-in-electricity-pricesWed, 04 May 2016 14:45:00 +0100Probabilistic forecasting of medium-term electricity demand: a comparison of time series models
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper focuses on medium-term probabilistic forecasting for risk management purposes. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2455962/probabilistic-forecasting-of-medium-term-electricity-demand-a-comparison-of-time-series-models
http://www.risk.net/journal-of-energy-markets/technical-paper/2455962/probabilistic-forecasting-of-medium-term-electricity-demand-a-comparison-of-time-series-modelsTue, 26 Apr 2016 14:05:00 +0100Volume 9, Number 1 (March 2016)
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The topics in this issue cover electricity and gas and oil markets, as well as the interaction of energy commodities and international capital markets. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2449856/latest-issue-volume-9-number-1-march-2016
http://www.risk.net/journal-of-energy-markets/journal/2449856/latest-issue-volume-9-number-1-march-2016Mon, 07 Mar 2016 11:20:00 +0000Pricing crude oil options using Lévy processes
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper employs the fractional fast Fourier transform to calibrate parameters in an optimization setup. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2442957/pricing-crude-oil-options-using-levy-processes
http://www.risk.net/journal-of-energy-markets/technical-paper/2442957/pricing-crude-oil-options-using-levy-processesMon, 07 Mar 2016 10:55:00 +0000Ex post payoffs of a tolling agreement for natural gas-fired generation in Texas
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper explores the problem of insufficient investment incentives for natural gas-fired generation in the ERCOT. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2442953/ex-post-payoffs-of-a-tolling-agreement-for-natural-gas-fired-generation-in-texas
http://www.risk.net/journal-of-energy-markets/technical-paper/2442953/ex-post-payoffs-of-a-tolling-agreement-for-natural-gas-fired-generation-in-texasMon, 07 Mar 2016 10:55:00 +0000A method of forecasting wholesale electricity market prices
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper employs the least-action principle to model the complex relationship between expected load and expected price in electricity spot markets. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2442390/a-method-of-forecasting-wholesale-electricity-market-prices
http://www.risk.net/journal-of-energy-markets/technical-paper/2442390/a-method-of-forecasting-wholesale-electricity-market-pricesMon, 07 Mar 2016 10:55:00 +0000A dynamic conditional correlation between commodities and the Islamic stock market
<p><img alt="image-tiles-jem" src="http://www.risk.net/IMG/479/337479/image-tiles-jem-320x198.png" title="" /></p>
<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper focusses on the dynamics of the correlations between commodities and Islamic indexes. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2442964/a-dynamic-conditional-correlation-between-commodities-and-the-islamic-stock-market
http://www.risk.net/journal-of-energy-markets/technical-paper/2442964/a-dynamic-conditional-correlation-between-commodities-and-the-islamic-stock-marketMon, 07 Mar 2016 10:50:00 +0000Volume 8, Number 4 (December 2015)
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http://www.risk.net/journal-of-energy-markets/journal/2437511/latest-issue-volume-8-number-4-december-2015
http://www.risk.net/journal-of-energy-markets/journal/2437511/latest-issue-volume-8-number-4-december-2015Wed, 02 Dec 2015 13:25:00 +0000Facilitating appropriate compensation of electric energy and reserve through standardized contracts with swing
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This study focuses on standardized energy and reserve contracts with swing (flexibility) in their contractual terms. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2436705/facilitating-appropriate-compensation-of-electric-energy-and-reserve-through-standardized-contracts-with-swing
http://www.risk.net/journal-of-energy-markets/technical-paper/2436705/facilitating-appropriate-compensation-of-electric-energy-and-reserve-through-standardized-contracts-with-swingWed, 02 Dec 2015 13:00:00 +0000Approximation of the price dynamics of heating degree day and cooling degree day temperature futures
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper proposes an approximation that makes the price dynamics of HDD and CDD temperature futures linearly dependent on the underlying temperature. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2436703/approximation-of-the-price-dynamics-of-heating-degree-day-and-cooling-degree-day-temperature-futures
http://www.risk.net/journal-of-energy-markets/technical-paper/2436703/approximation-of-the-price-dynamics-of-heating-degree-day-and-cooling-degree-day-temperature-futuresWed, 02 Dec 2015 13:00:00 +0000Calculation of a term structure power price equilibrium with ramping constraints
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper proposes a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2436690/calculation-of-a-term-structure-power-price-equilibrium-with-ramping-constraints
http://www.risk.net/journal-of-energy-markets/technical-paper/2436690/calculation-of-a-term-structure-power-price-equilibrium-with-ramping-constraintsWed, 02 Dec 2015 13:00:00 +0000Electricity futures prices: time-varying sensitivity to fundamentals
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper looks at the time-varying relation between electricity futures prices and fundamentals. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2436650/electricity-futures-prices-time-varying-sensitivity-to-fundamentals
http://www.risk.net/journal-of-energy-markets/technical-paper/2436650/electricity-futures-prices-time-varying-sensitivity-to-fundamentalsThu, 26 Nov 2015 11:55:00 +0000Which risk–collateral channels affect loan management?
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2425678/which-risk-collateral-channels-affect-loan-management
http://www.risk.net/journal-of-energy-markets/technical-paper/2425678/which-risk-collateral-channels-affect-loan-managementFri, 25 Sep 2015 11:10:00 +0100The informational role of spot prices and inventories
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> The authors of this paper argue that fundamental determinants of speculative futures trading may have been misinterpreted by some as “excessive” speculation in the energy markets in recent years. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2424619/the-informational-role-of-spot-prices-and-inventories
http://www.risk.net/journal-of-energy-markets/technical-paper/2424619/the-informational-role-of-spot-prices-and-inventoriesFri, 25 Sep 2015 11:05:00 +0100Risk evaluation of wind turbine investments
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper assesses the risk inherent in wind turbine investments that rely on a power market in order to determine the selling price of generated power. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2422831/risk-evaluation-of-wind-turbine-investments
http://www.risk.net/journal-of-energy-markets/technical-paper/2422831/risk-evaluation-of-wind-turbine-investmentsFri, 25 Sep 2015 11:05:00 +0100Forecasting of carbon emissions prices by the adaptive neuro–fuzzy inference system
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http://www.risk.net/journal-of-energy-markets/technical-paper/2421370/forecasting-of-carbon-emissions-prices-by-the-adaptive-neuro-fuzzy-inference-system
http://www.risk.net/journal-of-energy-markets/technical-paper/2421370/forecasting-of-carbon-emissions-prices-by-the-adaptive-neuro-fuzzy-inference-systemFri, 25 Sep 2015 11:05:00 +0100Estimation of risk measures on electricity markets with fat-tailed distributions
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper proposes an AR–GARCH-type EVT model with various innovations for energy price risk quantification. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2420403/estimation-of-risk-measures-on-electricity-markets-with-fat-tailed-distributions
http://www.risk.net/journal-of-energy-markets/technical-paper/2420403/estimation-of-risk-measures-on-electricity-markets-with-fat-tailed-distributionsFri, 25 Sep 2015 11:00:00 +0100Volume 8, Number 3 (September 2015)
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http://www.risk.net/journal-of-energy-markets/journal/2427594/latest-issue-volume-8-number-3-september-2015
http://www.risk.net/journal-of-energy-markets/journal/2427594/latest-issue-volume-8-number-3-september-2015Fri, 25 Sep 2015 10:55:00 +0100Covered option strategies in Nordic electricity markets
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This paper deals with the performance of popular option strategies in the Nordic power derivatives market. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/technical-paper/2419384/covered-option-strategies-in-nordic-electricity-markets
http://www.risk.net/journal-of-energy-markets/technical-paper/2419384/covered-option-strategies-in-nordic-electricity-marketsFri, 25 Sep 2015 10:55:00 +0100Volume 8, Number 2 (June 2015)
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<p><!-- subheading --> <!-- end-subheading --> <!-- summary --> This issue offers detailed insights into potential market inefficiencies in power and gas trading. The key issues of practical concern relate to the materiality of the inefficiencies, their sustainability and their determinants. <!-- end-summary --></p>
http://www.risk.net/journal-of-energy-markets/journal/2415559/latest-issue-volume-8-number-2-june-2015
http://www.risk.net/journal-of-energy-markets/journal/2415559/latest-issue-volume-8-number-2-june-2015Tue, 30 Jun 2015 11:32:00 +0100