Energy markets are one of the fastest growing and most complex sectors. From the basic role that oil has in the global economy, to the essential services that gas and electricity provide, energy is an area of geopolitical concern as well as financial activities. The Journal of Energy Markets serves as a major research outlet for new empirical and model-based work in this sector, and publishes original papers on the evolution and behaviour of electricity, gas, oil, carbon and other energy markets, both wholesale and retail.
The Journal of Energy Markets considers submissions in the form of research papers on the following, but not limited to, topics:
- Econometric analyses of prices, volatilities and across particular energy markets
- Model-based simulation of price and investment behaviour
- Theoretical and applied analyses of energy derivatives
- High frequency nonlinear models of price formation
- Longer-term geo-political analyses of energy market globalization
- Forward curve and risk premia
- Strategic behaviour by companies
- Financial aspects of new investment
- Relationship of energy and carbon markets to climate change policies
- Renewable energy financing and policy analysis
This paper models the evolution of the oil price as a mean-reverting regime-switching jump–diffusion process.
The authors formulate a general structural model for an energy market in order to analyze the dynamic hedging of contingent claims on spot electricity prices.
The authors of this paper study the calibration of futures contracts on temperature indexes.
This paper analyzes the case of commodity-dependent industries by testing in the case of the oil industry and analyzing whether oil exposure relates to the cross-section of returns.
In this paper, the authors investigate the new mean-reverting RW and its continuous-time limit, introduced by Moosavi and Davison (2016).
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.
On the role of structural breaks in identifying the dynamic conditional linkages between stock and commodity markets
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.
Zonal merit-order effects of wind generation development on day-ahead and real-time electricity market prices in Texas
This paper uses a regression-based approach to explore the impact of wind generation development on wholesale electricity prices in the ERCOT market.
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.
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…
This paper aims to find determinants of the endogenous regime-switching process underlying the cointegrating relationship between natural gas and crude oil.
The authors of this study investigate the distributions of returns on crude oil, heating oil and natural gas futures.
The convenience yield implied in the European natural gas markets: the impact of storage and weather
This paper aims to determine the convenience yield implied in the European natural gas markets by investigating driving factors and according dynamics.
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.
This paper proposes a stochastic model for coupled natural gas spot prices and temperature.
Risk management and portfolio optimization for gas- and coal-fired power plants in Germany: a multivariate GARCH approach
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.
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.
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.
This paper focuses on medium-term probabilistic forecasting for risk management purposes.
This paper employs the least-action principle to model the complex relationship between expected load and expected price in electricity spot markets.