CEM2017: COMMODITY AND ENERGY MARKETS 2017

This page contains an index consisting of author-provided keywords.

A
Adaptive Expectations	Expected Spot Prices and the Dynamics of Commodity Risk Premia
adjustment cost	Financialisation and the aluminium market Evidence from a DSGE model
Agents	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
Agricultural Commodities	Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures
agricultural commodity	Volatility spillovers between food, energy, US dollar, and equity markets. Evidence from Diebold-Yilmaz's approach
Agriculture	Is food financialized? Yes, but only when liquidity is abundant
Agriculture-specific common factor	Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices
aluminium	Financialisation and the aluminium market Evidence from a DSGE model
Amaranth	Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups
American option	Energy imbalance market call options and the valuation of storage
Aquaculture	Volatility Spill-overs in Salmon Aquaculture Markets Optimal hedging strategies for salmon producers Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
asset allocation	The economic value of commodities in asset allocation when returns are predictable
asset prices	Oil Volatility Risk
Asset Pricing	Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets The Formation of FFA Rates in Dry Bulk Shipping: Risk Premia and Heterogeneous Expectations Nonlinear Intermediary Asset Pricing in the Oil Futures Market
Atlantic salmon	Volatility Spill-overs in Salmon Aquaculture Markets
B
Baltic dry index	Bubble migration across asset classes during the global financial crises
banks	Nonlinear Intermediary Asset Pricing in the Oil Futures Market
Bayesian calibration	Bayesian calibration and number of jump components in electricity spot price models
Behavioral	Curve Momentum
Beta
Biased Beliefs	The Formation of FFA Rates in Dry Bulk Shipping: Risk Premia and Heterogeneous Expectations
Big data	Forecasting the sign of U.S. oil and gas industry stock index excess returns by using macroeconomic variables
Biofuels	A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
block trading	Block Trades in Options Markets
Box-Cox	Pricing Green Financial Products
Brent crude oil market	Supply-Side Perspective for Carbon Pricing
bubbles	Bubble migration across asset classes during the global financial crises
business cycle	The economic value of commodities in asset allocation when returns are predictable Cash Holdings in the Shipping Industry
C
Capital budgeting	Hedging Gone Wild: Was Delta Air Lines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
carbon emissions	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
Carbon Pass-Through Rate	Carbon Premiums and Pass-Through Rates in Australian Electricity Futures Markets
Carbon Tax	Carbon Premiums and Pass-Through Rates in Australian Electricity Futures Markets
CARMA	Pricing Green Financial Products
Cash holdings	Cash Holdings in the Shipping Industry
cash-and-carry arbitrage	Arbitrage and Its Physical Limits
Chinese Futures Markets	Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures
climate change	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
cointegration	A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
Commodities	The systemic risk in commodity markets Stock Returns Forecasting with Metals: Sentiment vs. Fundamentals Curve Momentum Gold, Platinum, and Expected Stock Returns Is food financialized? Yes, but only when liquidity is abundant The Predictability of Commodity Returns and Volatility
commodity	On Commodity Price Limits The implications of an informationally efficient futures market.
commodity excess co-movement hypothesis	Futures trading and the excess co-movement of commodity prices
commodity futures	How do portfolio weighting schemes affect commodity futures risk premia? The economic value of commodities in asset allocation when returns are predictable
commodity futures prices	Spanned and Unspanned Risks in Commodity Futures Markets
Commodity futures risk premia	An Integrated Harvest of Commodity Risk Premia
commodity index	Futures trading and the excess co-movement of commodity prices
Commodity index traders	Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices
Commodity Market	Real Options, Financial Constraints, and Drilling Rig Rental Rates
commodity markets	Expected Spot Prices and the Dynamics of Commodity Risk Premia Mean-reverting Statistical Arbitrage in Commodity Markets Arbitrage and Its Physical Limits
commodity price modeling	The Cost Implications of Managing Outliers in Commodities’ Prices
commodity prices	Commodity Spot, Forward Prices, and Convenience Yield under Incomplete Market
commodity pricing	Commodity Market Financialization, Indexation, and Correlation
commodity risk premia	Spanned and Unspanned Risks in Commodity Futures Markets
Commodity trading	Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups
complementarity problems	Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach
consumption dynamics	Welfare Costs of Oil Shocks
Continuous time CAPM	A continuous time CAPM for crude oil futures with stochastic volatility: GMM analysis
convenience yield	Financialization and Commodity Price Volatility Commodity Spot, Forward Prices, and Convenience Yield under Incomplete Market
copula models
corn	The effects of US biofuels policy: A structural break analysis of the WTI pass-through to the corn price
Corporate Collateral	Bank Lines of Credit and Corporate Collateral
Corporate Hedging	Bank Lines of Credit and Corporate Collateral
Corporate Objectives	Testing the Optimality of Hedge Ratios in Gold Firms
Correlation
Correlation Swaps	Variance Risk: A Bird's Eye View
Cournot competition	Multi-Market Dynamic Oligopoly with Inventory
crude oil	Bubble migration across asset classes during the global financial crises Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization Volatility Relations in Crude Oil Prices and the EURUSD rate
crude oil futures	A continuous time CAPM for crude oil futures with stochastic volatility: GMM analysis
crude oil options	Block Trades in Options Markets
crude oil-linked carbon price model	Supply-Side Perspective for Carbon Pricing
Curve	Curve Momentum
D
day-ahead electricity prices
Day-ahead market	Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models
decarbonation	The coordination of centralised and distributed generation
Default supply auctions	Default Supply Auctions in Electricity Markets: Challenges and Proposals
Delta hedge	Empirical hedging performance of long-dated crude oil derivatives
Demand	Supply, Demand, and Risk Premiums in Electricity Markets
derivatives	Security Design, Nontradable Risk, and Market Segmentation Hedging with Regret
Diamond Stocks	Do diamond equities sparkle in investors’ portfolios?
Diebold-Mariano test	Variance Stabilizing Transformations for Electricity Spot Price Forecasting
disaster risk	Gold, Platinum, and Expected Stock Returns
discrete time approximation
distributed generation	The coordination of centralised and distributed generation
Diversification	Do diamond equities sparkle in investors’ portfolios?
Diversification features
Dual bounds	Merchant Energy Trading in a Network
dynamic common correlated estimator	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
dynamic oligopoly	Multi-Market Dynamic Oligopoly with Inventory
Dynamic Programming	Gas storage valuation using a temperature dependent gas price model
dynamic risk	Optimal Policies for Risk-Averse Electric Vehicle Charging with Spot Purchases
dynamic term structure models	Spanned and Unspanned Risks in Commodity Futures Markets
E
Echo	Microscopic Momentum in Commodity Futures
Econometric forecasting	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
Economic Determinants	Supply, Demand, and Risk Premiums in Electricity Markets
Economic Fundamentals
economic growth	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
economic uncertainty	Oil Volatility Risk
economic variables	The economic value of commodities in asset allocation when returns are predictable
electric vehicle	Optimal Policies for Risk-Averse Electric Vehicle Charging with Spot Purchases
Electricity	Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
Electricity Futures	Supply, Demand, and Risk Premiums in Electricity Markets
Electricity generation
electricity markets	Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach Vector generative hidden state modeling of day-ahead electricity markets Default Supply Auctions in Electricity Markets: Challenges and Proposals On the Construction of Hourly Price Forward Curves for Electricity Prices Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
Electricity price forecasting	Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models
Electricity prices	The effect of hydro and wind generation on the mean and volatility of electricity prices in Spain
Electricity Spot and Futures Prices	Carbon Premiums and Pass-Through Rates in Australian Electricity Futures Markets
Electricity spot price	Bayesian calibration and number of jump components in electricity spot price models Variance Stabilizing Transformations for Electricity Spot Price Forecasting Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models
Elicitability	WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
Empirical Asset Pricing	Expected Spot Prices and the Dynamics of Commodity Risk Premia
Energy	How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ?
Energy commodities	A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy
Energy Finance	Real Options, Financial Constraints, and Drilling Rig Rental Rates
Energy forward markets	Additive models for forward curves in multicommodity energy markets
Energy futures market
energy imbalance market	Energy imbalance market call options and the valuation of storage
energy markets	Limits to Arbitrage in Electricity Markets: A case study of MISO Additive energy forward curves in a Heath-Jarrow-Morton framework
Energy trading	Merchant Energy Trading in a Network
Ensemble averaging	Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models
Equilibrium model	The implications of an informationally efficient futures market.
Equity	How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ?
ethanol	The effects of US biofuels policy: A structural break analysis of the WTI pass-through to the corn price
EU countries	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
EUA market	Supply-Side Perspective for Carbon Pricing
Excess stock return	Forecasting the sign of U.S. oil and gas industry stock index excess returns by using macroeconomic variables
Exchange‐Traded Products	What drives investors’ demand for gold ETPs?
execution costs	Block Trades in Options Markets
Exhaustability	Exploration Activity, Long Run Decisions, and the Risk Premium in Energy Futures
expectile	Pricing Green Financial Products
Exploration	Exploration Activity, Long Run Decisions, and the Risk Premium in Energy Futures
expropriation risk	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
extended mean field games (MFGs)	Mean Field Game and local storages in the power system
F
factor model	Futures trading and the excess co-movement of commodity prices
feed-in-tariffs	Optimal feed-in-tariffs for Household Photovoltaic Panels in France
FFT	Gas storage valuation using a temperature dependent gas price model
Financial crisis	Is food financialized? Yes, but only when liquidity is abundant
Financial risk and risk management	Hedging Gone Wild: Was Delta Air Lines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
financial transmission rights
financialisation	Financialisation and the aluminium market Evidence from a DSGE model
financialization	Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization Is food financialized? Yes, but only when liquidity is abundant Commodity Market Financialization, Indexation, and Correlation
Financialization of commodities	Financialization and Commodity Price Volatility Volatility spillovers between food, energy, US dollar, and equity markets. Evidence from Diebold-Yilmaz's approach
Fish meal	Volatility Spill-overs in Salmon Aquaculture Markets
Fish Pool	Volatility Spill-overs in Salmon Aquaculture Markets
Fish Pool Index	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
forecast	A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
Forecast Combinations	Stock Returns Forecasting with Metals: Sentiment vs. Fundamentals
Forecasting	Variance Stabilizing Transformations for Electricity Spot Price Forecasting The Predictability of Commodity Returns and Volatility Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models
foreign exchange	Volatility Relations in Crude Oil Prices and the EURUSD rate
forward prices	Additive models for forward curves in multicommodity energy markets
Forward Risk Premium	Carbon Premiums and Pass-Through Rates in Australian Electricity Futures Markets
Forward selection	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
forwards	Additive energy forward curves in a Heath-Jarrow-Morton framework
fundamental	On Commodity Price Limits
Futures	Supply Shocks, Futures Prices, and Trader Positions A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
Futures basis	Exploration Activity, Long Run Decisions, and the Risk Premium in Energy Futures
futures contracts in industrial and precious metals	Financialization and Commodity Price Volatility
Futures market	Are agriculture markets driven by investors’ allocation? Evidence from the co-movement of commodity prices
futures markets	The implications of an informationally efficient futures market.
futures price	Commodity Spot, Forward Prices, and Convenience Yield under Incomplete Market
futures prices	Risk of Agricultural Commodities: A Theory of Storage Perspective
futures trading	Futures trading and the excess co-movement of commodity prices
G
G7	Stock Returns Forecasting with Metals: Sentiment vs. Fundamentals
GARCH model	The effect of hydro and wind generation on the mean and volatility of electricity prices in Spain
gas storage valuation	Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
GAS-Factor Copulas	The systemic risk in commodity markets
GMM	A continuous time CAPM for crude oil futures with stochastic volatility: GMM analysis
Gold	What drives investors’ demand for gold ETPs? Back to Gold - Safe Haven Evidence from the Tails Gold, Platinum, and Expected Stock Returns
Gold Prices	Bank Lines of Credit and Corporate Collateral
Granger Causality	What drives investors’ demand for gold ETPs?
Greeks	A Jump Diffusion Model for Pricing and Hedging with Margined Options: An Application to Brent Crude Contracts
green certificates	ADAPT: A Price-stabilizing Compliance Policy for Renewable Energy Certificates
Green Paradox	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
Growth opportunities	Cash Holdings in the Shipping Industry
H
Heath-Jarrow-Morton approach	Additive models for forward curves in multicommodity energy markets Additive energy forward curves in a Heath-Jarrow-Morton framework
Hedge	Back to Gold - Safe Haven Evidence from the Tails
Hedging	Security Design, Nontradable Risk, and Market Segmentation Hedging with Regret Supply Shocks, Futures Prices, and Trader Positions A Jump Diffusion Model for Pricing and Hedging with Margined Options: An Application to Brent Crude Contracts Optimal hedging strategies for salmon producers Commodity Market Financialization, Indexation, and Correlation Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
Hedging Effects
hedging pressure	Microscopic Momentum in Commodity Futures
herding behaviour
Heterogeneous Agents	The Formation of FFA Rates in Dry Bulk Shipping: Risk Premia and Heterogeneous Expectations
heteroscedasticity-corrected correlation	Futures trading and the excess co-movement of commodity prices
high frequency data	A continuous time CAPM for crude oil futures with stochastic volatility: GMM analysis
High-frequency trading	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
Hotelling	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
Hourly Price Forward Curves	On the Construction of Hourly Price Forward Curves for Electricity Prices
Hydro and wind generation	The effect of hydro and wind generation on the mean and volatility of electricity prices in Spain
hydrological scenarios	Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis
I
Impulse Responses	A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
Index funds	Is food financialized? Yes, but only when liquidity is abundant
Industrial organization	Hedging Gone Wild: Was Delta Air Lines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
Information	Liquidity Provision Under Stress: The Fast, the Slow, and the Dead Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil
information asymmetry	The implications of an informationally efficient futures market.
insider trading	Informed trading in oil futures markets
Interest rate hedge	Empirical hedging performance of long-dated crude oil derivatives
intermediaries	Nonlinear Intermediary Asset Pricing in the Oil Futures Market
intraday data	Informed trading in oil futures markets
Intraday power market	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
Inventories	Exploration Activity, Long Run Decisions, and the Risk Premium in Energy Futures
inventory	On Commodity Price Limits
inventory release	Informed trading in oil futures markets
J
jump	Pricing Green Financial Products
jump diffusion
Jump Risk	Back to Gold - Safe Haven Evidence from the Tails
jump-diffusion models	Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach
L
lasso	Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models Volatility spillovers between food, energy, US dollar, and equity markets. Evidence from Diebold-Yilmaz's approach
law of one price	Arbitrage and Its Physical Limits
Law of Small Numbers	The Formation of FFA Rates in Dry Bulk Shipping: Risk Premia and Heterogeneous Expectations
Least squares Monte Carlo	Merchant Energy Trading in a Network
Lévy	Pricing Green Financial Products
limits to arbitrage	Arbitrage and Its Physical Limits
Lines of Credit	Bank Lines of Credit and Corporate Collateral
Liquidity	How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ? Is food financialized? Yes, but only when liquidity is abundant
Long-dated crude oil options	Empirical hedging performance of long-dated crude oil derivatives
long-run risk	Welfare Costs of Oil Shocks
Long-short strategies	An Integrated Harvest of Commodity Risk Premia
Long-term seasonal component	Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models
M
Machine learning	Vector generative hidden state modeling of day-ahead electricity markets
macroeconomic growth	Oil Volatility Risk
Macrofinance	Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets
Margined	A Jump Diffusion Model for Pricing and Hedging with Margined Options: An Application to Brent Crude Contracts
Maritime financial management	Cash Holdings in the Shipping Industry
market coupling
market design	ADAPT: A Price-stabilizing Compliance Policy for Renewable Energy Certificates
market efficiency	Limits to Arbitrage in Electricity Markets: A case study of MISO
market expectation	A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
Market Informedness	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
market price of risk	Pricing Green Financial Products
market structure	Nonlinear Intermediary Asset Pricing in the Oil Futures Market
Market timing	Forecasting the sign of U.S. oil and gas industry stock index excess returns by using macroeconomic variables
Markov Chain Monte Carlo	Bayesian calibration and number of jump components in electricity spot price models
Markov switching	A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices Nonlinear Intermediary Asset Pricing in the Oil Futures Market
martingale measure	Additive energy forward curves in a Heath-Jarrow-Morton framework
Mass Flows	A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy
McKean-Vlasov	The coordination of centralised and distributed generation
mean reversion	Additive models for forward curves in multicommodity energy markets
mean reverting variance gamma model	Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
Mean-Field type control	Mean Field Game and local storages in the power system
mean-reversion	Additive energy forward curves in a Heath-Jarrow-Morton framework
Measures of speculation and hedging	Default Supply Auctions in Electricity Markets: Challenges and Proposals
metal markets
MF Global	Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups
micro-storage	Mean Field Game and local storages in the power system
Microscopic Momentum	Microscopic Momentum in Commodity Futures
Middle East	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
migration	Bubble migration across asset classes during the global financial crises
mild explosivity	Bubble migration across asset classes during the global financial crises
Mixture Distribution	Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
model risk	Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
model selection	Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
model uncertainty	A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
modelling	On the Construction of Hourly Price Forward Curves for Electricity Prices
Momentum	Curve Momentum
Multi-factor models	Bayesian calibration and number of jump components in electricity spot price models
Multivariate linear regression	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
Multivariate model	Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models
N
Nash equilibrium	Multi-Market Dynamic Oligopoly with Inventory
Natural gas	Gas storage valuation using a temperature dependent gas price model
natural gas storage
Negative jumps	Bayesian calibration and number of jump components in electricity spot price models
network economics	Limits to Arbitrage in Electricity Markets: A case study of MISO
Network Theory	A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy
Neural network	Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Statistical vs. neural network models
news analytics	Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil
nonlinear time series analysis	Vector generative hidden state modeling of day-ahead electricity markets
Nontradable Risk Market	Security Design, Nontradable Risk, and Market Segmentation
numerical methods	Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach
Numerical solution methods	Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets
O
oil	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa Nonlinear Intermediary Asset Pricing in the Oil Futures Market
Oil and gas industry	Forecasting the sign of U.S. oil and gas industry stock index excess returns by using macroeconomic variables
oil futures markets	Arbitrage and Its Physical Limits
Oil Market	A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy
oil price	A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil
oil shocks	Oil Volatility Risk Welfare Costs of Oil Shocks
oil storage	Arbitrage and Its Physical Limits
open interest	Financialization and Commodity Price Volatility
optimal decisions	ADAPT: A Price-stabilizing Compliance Policy for Renewable Energy Certificates
Optimal Hedge Ratios	Testing the Optimality of Hedge Ratios in Gold Firms
Optimal strike convention	Spread option implied correlation and the optimal choice of strike convention
Option Prices	WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
Options	A Jump Diffusion Model for Pricing and Hedging with Margined Options: An Application to Brent Crude Contracts
Order book	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
Order flow	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
Ornstein-Uhlenbeck process	Bayesian calibration and number of jump components in electricity spot price models
out-of-sample forecasts	The economic value of commodities in asset allocation when returns are predictable
outlier detection	The Cost Implications of Managing Outliers in Commodities’ Prices
P
Parameter Risk	Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
partial integro-differential equations	Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach
Performance	How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ? Do diamond equities sparkle in investors’ portfolios?
petroleum	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
Photovoltaic Panels	Optimal feed-in-tariffs for Household Photovoltaic Panels in France
physical constraints	Arbitrage and Its Physical Limits
Portfolio	How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ?
portfolio optimization	How do portfolio weighting schemes affect commodity futures risk premia?
portfolio performance evaluation	The economic value of commodities in asset allocation when returns are predictable
portfolio risk	The Cost Implications of Managing Outliers in Commodities’ Prices
Power derivatives	Default Supply Auctions in Electricity Markets: Challenges and Proposals
precious metals	Gold, Platinum, and Expected Stock Returns
Predictability	The economic value of commodities in asset allocation when returns are predictable The Predictability of Commodity Returns and Volatility
price limit	On Commodity Price Limits
Price spike	Variance Stabilizing Transformations for Electricity Spot Price Forecasting
price volatility	Financialization and Commodity Price Volatility
Pricing	A Jump Diffusion Model for Pricing and Hedging with Margined Options: An Application to Brent Crude Contracts
Probability integral transform	Variance Stabilizing Transformations for Electricity Spot Price Forecasting
Probit model	Forecasting the sign of U.S. oil and gas industry stock index excess returns by using macroeconomic variables
production	Commodity Spot, Forward Prices, and Convenience Yield under Incomplete Market
Prospect Theory	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
prosumers	Mean Field Game and local storages in the power system
Q
quantitative strategies	How do portfolio weighting schemes affect commodity futures risk premia?
R
R-squared decomposition	Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization
Rational Expectations Hypothesis	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
real option	Energy imbalance market call options and the valuation of storage
Real options	Gas storage valuation using a temperature dependent gas price model Real Options, Financial Constraints, and Drilling Rig Rental Rates Merchant Energy Trading in a Network
Realized Measures
Realized Variance	Variance Risk: A Bird's Eye View
Reciprocity	A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy
Regression	Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models
regret aversion	Hedging with Regret
renewable energy	Pricing Green Financial Products 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
Renewable Policy Target
Renewables	ADAPT: A Price-stabilizing Compliance Policy for Renewable Energy Certificates Optimal feed-in-tariffs for Household Photovoltaic Panels in France
Return forecasting	Stock Returns Forecasting with Metals: Sentiment vs. Fundamentals
Return Predictability	Variance Risk: A Bird's Eye View Gold, Platinum, and Expected Stock Returns
Returns Volatility	Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures
risk	Risk of Agricultural Commodities: A Theory of Storage Perspective How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ? Commodity Trading Strategies, Common Mistakes, and Catastrophic Blowups
Risk Aversion	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
Risk levels
risk management	Hedging with Regret Testing the Optimality of Hedge Ratios in Gold Firms
Risk Measures	WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
Risk Premia	Expected Spot Prices and the Dynamics of Commodity Risk Premia
risk premium	Exploration Activity, Long Run Decisions, and the Risk Premium in Energy Futures Pricing Green Financial Products A General Approach to Recovering Market Expectations from Futures Prices With an Application to Crude Oil Supply, Demand, and Risk Premiums in Electricity Markets
S
Safe Haven	What drives investors’ demand for gold ETPs? Back to Gold - Safe Haven Evidence from the Tails
Seasonality	Microscopic Momentum in Commodity Futures
Security Design	Security Design, Nontradable Risk, and Market Segmentation
Segmentation	Security Design, Nontradable Risk, and Market Segmentation
sentiment	Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil
Shipping Markets	The Formation of FFA Rates in Dry Bulk Shipping: Risk Premia and Heterogeneous Expectations Cash Holdings in the Shipping Industry
shock contagion
Signal integration	An Integrated Harvest of Commodity Risk Premia
skew-Student	Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis
solar power	ADAPT: A Price-stabilizing Compliance Policy for Renewable Energy Certificates
Soybean meal	Volatility Spill-overs in Salmon Aquaculture Markets
speculation	The implications of an informationally efficient futures market. Supply Shocks, Futures Prices, and Trader Positions Commodity Market Financialization, Indexation, and Correlation
Speculation Ratio	Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures
speculative bubbles	Financialization and Commodity Price Volatility
spot market	Optimal Policies for Risk-Averse Electric Vehicle Charging with Spot Purchases
spot power price	Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis
Spread options	Spread option implied correlation and the optimal choice of strike convention
statistical arbitrage	Mean-reverting Statistical Arbitrage in Commodity Markets
sticky-price DSGE model	Financialisation and the aluminium market Evidence from a DSGE model
Stochastic calculus	Spread option implied correlation and the optimal choice of strike convention
stochastic game	The coordination of centralised and distributed generation
Stochastic interest rates	Empirical hedging performance of long-dated crude oil derivatives
stochastic optimal control	Energy imbalance market call options and the valuation of storage
stochastic process	Pricing Green Financial Products
stochastic processes	Vector generative hidden state modeling of day-ahead electricity markets
Stochastic volatility	A continuous time CAPM for crude oil futures with stochastic volatility: GMM analysis A Finite Element Method for Pricing Swing Options under Stochastic Volatility
storage	Commodity Spot, Forward Prices, and Convenience Yield under Incomplete Market Risk of Agricultural Commodities: A Theory of Storage Perspective Financialisation and the aluminium market Evidence from a DSGE model
Stress	Liquidity Provision Under Stress: The Fast, the Slow, and the Dead
Structural breaks	The effects of US biofuels policy: A structural break analysis of the WTI pass-through to the corn price
Structural Model	Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
structural VAR	Nonlinear Intermediary Asset Pricing in the Oil Futures Market
Supply	Supply, Demand, and Risk Premiums in Electricity Markets
Survey	Managing Market Price Risk through Forecasting and Hedging: The effects of Market Informedness and Risk Aversion
Survey Forecasts	Expected Spot Prices and the Dynamics of Commodity Risk Premia
swing options	Pricing swing options in electricity markets with jump-diffusion models and a partial-integro differential equation approach A Finite Element Method for Pricing Swing Options under Stochastic Volatility
Systemic Risk	The systemic risk in commodity markets
T
tail dependence
tail quantile forecasting
Tail Risk	Back to Gold - Safe Haven Evidence from the Tails Gold, Platinum, and Expected Stock Returns
Technology	Exploration Activity, Long Run Decisions, and the Risk Premium in Energy Futures
temperature	Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis
Term Structure	Curve Momentum Microscopic Momentum in Commodity Futures
term structure of volatility	Additive models for forward curves in multicommodity energy markets
terrorism	Oil at Risk: Estimating the Impact of Terrorism on Petroleum Production in the Middle East and North Africa
the finite element method	A Finite Element Method for Pricing Swing Options under Stochastic Volatility
time series	A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
Time series analysis	Forecasting the Atlantic Salmon Spot Price Using a General-to-Specific Regression Approach
Trade	A network analysis of the global energy market before the oil shock: an insight on the entanglement between crude oil and world economy
Trading	Optimal hedging strategies for salmon producers
trading activities
trading strategy	Mean-reverting Statistical Arbitrage in Commodity Markets
Trading_speed	Liquidity Provision Under Stress: The Fast, the Slow, and the Dead
Transaction Costs	Stock Returns Forecasting with Metals: Sentiment vs. Fundamentals
transform	Pricing Green Financial Products
U
U.S. monetary policy	The systemic risk in commodity markets
Univariate model	Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models
unspanned macroeconomic factors	Spanned and Unspanned Risks in Commodity Futures Markets
Unspanned Risk	Supply, Demand, and Risk Premiums in Electricity Markets
V
valuation of storage	Energy imbalance market call options and the valuation of storage
Value	How Does Liquidity Affect Value, Risk, and Performance of Energy Equity Portfolios ?
Value at Risk	Mean-reverting Statistical Arbitrage in Commodity Markets
VaR and CVaR	WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
VARFIMA-BEKK	Joint Modelling of Power Price, Temperature, and Hydrological Balance with a View towards Scenario Analysis
Variable selection	Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models
Variance stabilizing transformation	Variance Stabilizing Transformations for Electricity Spot Price Forecasting
Variance Swaps	Variance Risk: A Bird's Eye View
VECM	A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
Virtual Power Plant	Structural Electricity Models and Asymptotically Normal Estimators to Quantify Parameter Risk
Volatility	Liquidity Provision Under Stress: The Fast, the Slow, and the Dead A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices Volatility Relations in Crude Oil Prices and the EURUSD rate Volatility Spill-overs in Salmon Aquaculture Markets
Volatility spill-over	Volatility Spill-overs in Salmon Aquaculture Markets
Volatility Spillover
volatility spillovers	Volatility spillovers between food, energy, US dollar, and equity markets. Evidence from Diebold-Yilmaz's approach
Voluntary_liquidity_provision	Liquidity Provision Under Stress: The Fast, the Slow, and the Dead
W
welfare costs	Welfare Costs of Oil Shocks
Wheat	Volatility Spill-overs in Salmon Aquaculture Markets
wind power futures	Pricing Green Financial Products
World Market Portfolio	Do diamond equities sparkle in investors’ portfolios?
WTI	The effects of US biofuels policy: A structural break analysis of the WTI pass-through to the corn price
WTI crude oil futures	Informed trading in oil futures markets

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