CEM2017: COMMODITY AND ENERGY MARKETS 2017

A
Adams, Zeno	Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization
Ahrends, Meike	Cash Holdings in the Shipping Industry
Aid, Rene	The coordination of centralised and distributed generation
Alasseur, Clemence	Mean Field Game and local storages in the power system
Allen, David	A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
Almansur, Abdullah M.	Hedging Gone Wild: Was Delta Air Lines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
Alos, Elisa	Spread option implied correlation and the optimal choice of strike convention
Alsabah, Humoud	Multi-Market Dynamic Oligopoly with Inventory
Asche, Frank	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
Augustin, Patrick	Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets
Avci-Surucu, Ezgi	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
B
Barone-Adesi, Giovanni	WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
Basu, Devraj	Financialization and Commodity Price Volatility
Baum, Christopher	A continuous time CAPM for crude oil futures with stochastic volatility: GMM analysis
Baumeister, Christiane	A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
Ben Tahar, Imen	Mean Field Game and local storages in the power system
Benth, Fred E.	Additive energy forward curves in a Heath-Jarrow-Morton framework
Benth, Fred Espen
Berge Steinshamn, Kjartan	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
Bermejo, Ramon	Bubble migration across asset classes during the global financial crises
Bernales, Alejandro
Bianchi, Daniele	Expected Spot Prices and the Dynamics of Commodity Risk Premia
Bierbaumer, Daniel	Nonlinear Intermediary Asset Pricing in the Oil Futures Market
Birge, John	Limits to Arbitrage in Electricity Markets: A case study of MISO
Bohl, Martin	Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures
Bonato, Matteo
Borocco, Etienne	The implications of an informationally efficient futures market.
Boroumand, Raphael Homayoun	Testing the Optimality of Hedge Ratios in Gold Firms
Borovkova, Svetlana
Bosch, David	What drives investors’ demand for gold ETPs?
Brandt, Michael	Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil
Bunn, Derek	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
Byers, Joe	The Cost Implications of Managing Outliers in Commodities’ Prices
C
Capponi, Agostino	Multi-Market Dynamic Oligopoly with Inventory
Carlvo-Garrido, M. Carmen	Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach
Cartea, Álvaro	Properties of order books and order flows from the intraday power market for deliveries in the German-Austrian market area run by EPEX SPOT SE
Casassus, Jaime	Spanned and Unspanned Risks in Commodity Futures Markets
Cheng, Benjamin	Empirical hedging performance of long-dated crude oil derivatives
Cheng, Hua	The systemic risk in commodity markets
Cotter, John	The economic value of commodities in asset allocation when returns are predictable
Coulon, Michael	ADAPT: A Price-stabilizing Compliance Policy for Renewable Energy Certificates Spread option implied correlation and the optimal choice of strike convention
Cummins, Mark	Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
D
D'Eccesia, Rita Laura	Do diamond equities sparkle in investors’ portfolios?
David, Alexander	Exploration Activity, Long Run Decisions, and the Risk Premium in Energy Futures
Drobetz, Wolfgang	Cash Holdings in the Shipping Industry
E
Eagleeye, Joseph	Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups
Ederington, Louis	Arbitrage and Its Physical Limits
Ehrhardt, Matthias	Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach
Eyiah-Donkor, Emmanuel	The economic value of commodities in asset allocation when returns are predictable
F
Faff, Robert	How do portfolio weighting schemes affect commodity futures risk premia?
Fan, John	Microscopic Momentum in Commodity Futures
Fanelli, Viviana	Mean-reverting Statistical Arbitrage in Commodity Markets
Fernandez-Perez, Adrian	An Integrated Harvest of Commodity Risk Premia
Fernando, Chitru	Arbitrage and Its Physical Limits
Figuerola-Ferretti, Isabel	Bubble migration across asset classes during the global financial crises
Fijorek, Kamil	Volatility spillovers between food, energy, US dollar, and equity markets. Evidence from Diebold-Yilmaz's approach
Fretheim, Torun
Frodyma, Katarzyna	The impact of development of the renewable energy sector in the EU on the relationship between renewable and non-renewable energy consumption and economic growth
Fuertes, Ana-Maria	An Integrated Harvest of Commodity Risk Premia
Fusai, Gianluca	Gas storage valuation using a temperature dependent gas price model
G
Gao, Lin	Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil
Gao, Lin	Oil Volatility Risk
Gemmetto, Valerio	A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy
Gilbert, Christopher	The effects of US biofuels policy: A structural break analysis of the WTI pass-through to the corn price
Gonzalez, Jhonny	Bayesian calibration and number of jump components in electricity spot price models
Gousgounis, Eleni	Block Trades in Options Markets
Goutte, Stephane	Testing the Optimality of Hedge Ratios in Gold Firms
Graf von Luckner, Nikolaus	Properties of order books and order flows from the intraday power market for deliveries in the German-Austrian market area run by EPEX SPOT SE
H
Haerdle, Wolfgang	Pricing Green Financial Products
Hammerschmid, Regina
Harms, Cord	Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
Heckinger, Richard	Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups
Henke, Bas
Hilliard, Jimmy	A Jump Diffusion Model for Pricing and Hedging with Margined Options: An Application to Brent Crude Contracts
Hilliard, Jitka	A Jump Diffusion Model for Pricing and Hedging with Margined Options: An Application to Brent Crude Contracts
Hitzemann, Steffen	Welfare Costs of Oil Shocks Oil Volatility Risk
Holland, Kateryna	Arbitrage and Its Physical Limits
Hollstein, Fabian	Variance Risk: A Bird's Eye View
Hortacsu, Ali	Limits to Arbitrage in Electricity Markets: A case study of MISO
Huang, Darien	Gold, Platinum, and Expected Stock Returns
Huber, Rocco
J
Jacobs, Kris	Supply, Demand, and Risk Premiums in Electricity Markets
Jaimungal, Sebastian	Properties of order books and order flows from the intraday power market for deliveries in the German-Austrian market area run by EPEX SPOT SE
Janardanan, Rajkumar	On Commodity Price Limits
Janzen, Joseph	Supply Shocks, Futures Prices, and Trader Positions
Jiang, Daniel	Optimal Policies for Risk-Averse Electric Vehicle Charging with Spot Purchases
Jordan, Steven	Stock Returns Forecasting with Metals: Sentiment vs. Fundamentals
Jotanovic, Vera	Do diamond equities sparkle in investors’ portfolios?
K
Kanamura, Takashi	Supply-Side Perspective for Carbon Pricing
Kao, Edward	A Finite Element Method for Pricing Swing Options under Stochastic Volatility
Kartsakli, Maria	Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization
Ketter, Wolfgang	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
Khazaei, Javad	ADAPT: A Price-stabilizing Compliance Policy for Renewable Energy Certificates
Khokher, Zeigham	Real Options, Financial Constraints, and Drilling Rig Rental Rates
Kiely, Greg	Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
Kiesel, Ruediger	Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
Kiesel, Rüdiger	On the Construction of Hourly Price Forward Curves for Electricity Prices Properties of order books and order flows from the intraday power market for deliveries in the German-Austrian market area run by EPEX SPOT SE
Kilian, Lutz	A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
Kockerols, Thore	Financialisation and the aluminium market Evidence from a DSGE model
Korn, Olaf	Hedging with Regret
L
Lange, Nina	Volatility Relations in Crude Oil Prices and the EURUSD rate
Latini, Luca	Additive models for forward curves in multicommodity energy markets
Le Pen, Yannick	Futures trading and the excess co-movement of commodity prices
Lecesne, Lionel	How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ?
Legnazzi, Chiara	WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
Li, Yu	Supply, Demand, and Risk Premiums in Electricity Markets
Linn, Scott	Arbitrage and Its Physical Limits
Liu, Jingzhen	Forecasting the sign of U.S. oil and gas industry stock index excess returns by using macroeconomic variables
Low, Rand	How do portfolio weighting schemes affect commodity futures risk premia?
Lucheroni, Carlo	Vector generative hidden state modeling of day-ahead electricity markets
Ludwig, Michael
Lunina, Veronika	Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis
López Cabrera, Brenda	Pricing Green Financial Products
Lübbers, Johannes	Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices
M
Marcjasz, Grzegorz	Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models
Markou, Panos	Bank Lines of Credit and Corporate Collateral
Maryniak, Paweł	Carbon Premiums and Pass-Through Rates in Australian Electricity Futures Markets
Matoussi, Anis	Mean Field Game and local storages in the power system
Mayer, Herbert
McCrorie, Rod	Bubble migration across asset classes during the global financial crises
McInerney, Celine	Risk of Agricultural Commodities: A Theory of Storage Perspective
Megginson, William L.	Hedging Gone Wild: Was Delta Air Lines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
Melzer, Awdesch	Pricing Green Financial Products
Mercadel, Ignacia	Limits to Arbitrage in Electricity Markets: A case study of MISO
Merener, Nicolas	Supply Shocks, Futures Prices, and Trader Positions
Merrill, Ryan	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
Miffre, Joelle	An Integrated Harvest of Commodity Risk Premia How do portfolio weighting schemes affect commodity futures risk premia?
Misund, Bård	Volatility Spill-overs in Salmon Aquaculture Markets
Moriarty, John	Energy imbalance market call options and the valuation of storage Bayesian calibration and number of jump components in electricity spot price models
Morovati, Mohammad	Real Options, Financial Constraints, and Drilling Rig Rental Rates
Moutzouris, Ioannis	The Formation of FFA Rates in Dry Bulk Shipping: Risk Premia and Heterogeneous Expectations
Mugera, Harriet	The effects of US biofuels policy: A structural break analysis of the WTI pass-through to the corn price
Murphy, Bernard	Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
N
Nadarajah, Selvaprabu	Merchant Energy Trading in a Network
Nakajima, Katsushi	Commodity Spot, Forward Prices, and Convenience Yield under Incomplete Market
Nguyen, Binh	Back to Gold - Safe Haven Evidence from the Tails
Nikitopoulos Sklibosios, Christina	Empirical hedging performance of long-dated crude oil derivatives
Nomikos, Nikos	Cash Holdings in the Shipping Industry The Formation of FFA Rates in Dry Bulk Shipping: Risk Premia and Heterogeneous Expectations
O
Oglend, Atle	Volatility Spill-overs in Salmon Aquaculture Markets
Oran, Adil	Is food financialized? Yes, but only when liquidity is abundant
Ordu, Beyza Mina	Is food financialized? Yes, but only when liquidity is abundant
Orlando, Anthony	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
P
Palczewski, Jan	Energy imbalance market call options and the valuation of storage Bayesian calibration and number of jump components in electricity spot price models
Papież, Monika	The impact of development of the renewable energy sector in the EU on the relationship between renewable and non-renewable energy consumption and economic growth Volatility spillovers between food, energy, US dollar, and equity markets. Evidence from Diebold-Yilmaz's approach
Paraschiv, Florentina	On the Construction of Hourly Price Forward Curves for Electricity Prices
Paraskevopoulos, Ioannis	Bubble migration across asset classes during the global financial crises
Paschke, Raphael	Curve Momentum
Pavlin, Michael	Limits to Arbitrage in Electricity Markets: A case study of MISO
Pereira, Joao	The effect of hydro and wind generation on the mean and volatility of electricity prices in Spain
Pesquita, Vasco	The effect of hydro and wind generation on the mean and volatility of electricity prices in Spain
Peña, Juan Ignacio	Default Supply Auctions in Electricity Markets: Challenges and Proposals
Piana, Jacopo	Expected Spot Prices and the Dynamics of Commodity Risk Premia
Picciolo, Francesco	A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy
Piccirilli, Marco	Additive energy forward curves in a Heath-Jarrow-Morton framework
Pircalabu, Anca
Pirrong, Craig	Supply, Demand, and Risk Premiums in Electricity Markets
Pirrong, Craig	Commodity Market Financialization, Indexation, and Correlation
Popova, Ivilina	The Cost Implications of Managing Outliers in Commodities’ Prices
Posch, Peter N	Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices
Poti, Valerio	The economic value of commodities in asset allocation when returns are predictable
Powell, Warren	ADAPT: A Price-stabilizing Compliance Policy for Renewable Energy Certificates Optimal Policies for Risk-Averse Electric Vehicle Charging with Spot Purchases
Prokopczuk, Marcel	The Predictability of Commodity Returns and Volatility Curve Momentum Back to Gold - Safe Haven Evidence from the Tails
Pugachev, Leonid	Hedging Gone Wild: Was Delta Air Lines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
Q
Qiao, Xiao	On Commodity Price Limits
R
Rad, Hossein	How do portfolio weighting schemes affect commodity futures risk premia?
Raman, Vikas	Liquidity Provision Under Stress: The Fast, the Slow, and the Dead
Rathgeber, Andreas
Rieger, Marc Oliver	Hedging with Regret
Rieth, Malte	Nonlinear Intermediary Asset Pricing in the Oil Futures Market
Robe, Michel	Liquidity Provision Under Stress: The Fast, the Slow, and the Dead
Rodrigues, Paulo	The effect of hydro and wind generation on the mean and volatility of electricity prices in Spain
Rodriguez, Rosa	Default Supply Auctions in Electricity Markets: Challenges and Proposals
Roncoroni, Andrea	How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ?
Roncoroni, Andrea	Security Design, Nontradable Risk, and Market Segmentation
Ronn, Ehud I.	Testing the Optimality of Hedge Ratios in Gold Firms
Rousse, Olivier	Informed trading in oil futures markets
Rouwenhorst, Geert	On Commodity Price Limits
Ruzzenenti, Franco	A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy
S
Sala, Carlo	WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
Sandaker, Kristian	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
Sanin, Maria Eugenia	Optimal feed-in-tariffs for Household Photovoltaic Panels in France
Santangelo, Alberto	Gas storage valuation using a temperature dependent gas price model
Schlogl, Erik	Empirical hedging performance of long-dated crude oil derivatives
Schütz, Peter	Optimal hedging strategies for salmon producers
Secomandi, Nicola	Merchant Energy Trading in a Network
Shaliastovich, Ivan	Oil Volatility Risk
Siklos, Pierre	Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures
Simkins, Betty	The Cost Implications of Managing Outliers in Commodities’ Prices
Six, Pierre	Risk of Agricultural Commodities: A Theory of Storage Perspective
Soytas, Ugur	Is food financialized? Yes, but only when liquidity is abundant
Srinivasan, Sayee	Block Trades in Options Markets
Store, Kristian
Suarez, Gonzalo	Bubble migration across asset classes during the global financial crises
Sætherø, Audun	On the Construction of Hourly Price Forward Curves for Electricity Prices
Sévi, Benoît	Futures trading and the excess co-movement of commodity prices Informed trading in oil futures markets
T
Tharann, Björn	The Predictability of Commodity Returns and Volatility
Till, Hilary	Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups
Titman, Sheridan	Real Options, Financial Constraints, and Drilling Rig Rental Rates
Trueck, Stefan	Carbon Premiums and Pass-Through Rates in Australian Electricity Futures Markets
Tédongap, Roméo	Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets
U
Uniejewski, Bartosz	Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models Variance Stabilizing Transformations for Electricity Spot Price Forecasting
V
Van Heck, Eric	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
Vargiolu, Tiziano	Additive energy forward curves in a Heath-Jarrow-Morton framework Additive models for forward curves in multicommodity energy markets
Vazquez, Carlos	Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach
Velinov, Anton	Nonlinear Intermediary Asset Pricing in the Oil Futures Market
Venkatesan, Shyam Sunder	Real Options, Financial Constraints, and Drilling Rig Rental Rates
Vivian, Andrew	Stock Returns Forecasting with Metals: Sentiment vs. Fundamentals
W
Wang, Muhu	A Finite Element Method for Pricing Swing Options under Stochastic Volatility
Wanner, Markus
Warbo Mjaugeto, Paal Olav	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
Wellenreuther, Claudia	Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures
Wen, Xiaoqian	The systemic risk in commodity markets
Weron, Rafal	Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models Carbon Premiums and Pass-Through Rates in Australian Electricity Futures Markets Variance Stabilizing Transformations for Electricity Spot Price Forecasting
Wese Simen, Chardin	The Predictability of Commodity Returns and Volatility Curve Momentum Back to Gold - Safe Haven Evidence from the Tails Variance Risk: A Bird's Eye View
Westgaard, Sjur	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
Westgaard, Sjur	Optimal hedging strategies for salmon producers
Williams, Ryan	Bank Lines of Credit and Corporate Collateral
Wohar, Mark	Stock Returns Forecasting with Metals: Sentiment vs. Fundamentals
X
Xu, Lai	Oil Volatility Risk
Y
Yadav, Pradeep	Liquidity Provision Under Stress: The Fast, the Slow, and the Dead
Yang, Jie	Bank Lines of Credit and Corporate Collateral
Yaron, Amir	Welfare Costs of Oil Shocks
Z
Zahiri, Sepideh
Zerilli, Paola	A continuous time CAPM for crude oil futures with stochastic volatility: GMM analysis
Ziel, Florian	Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models Variance Stabilizing Transformations for Electricity Spot Price Forecasting
Ś
Śmiech, Sławomir	The impact of development of the renewable energy sector in the EU on the relationship between renewable and non-renewable energy consumption and economic growth
Śmiech, Sławomir	Volatility spillovers between food, energy, US dollar, and equity markets. Evidence from Diebold-Yilmaz's approach

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