CEMA 2019: COMMODITY AND ENERGY MARKETS ASSOCIATION ANNUAL MEETING 2019

A
Abramova, Ekaterina	Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity
Afkhami, Mohamad	Price Dynamics of Renewable Identification Numbers Under Uncertainty
Aid, René	The Coordination of Centralised and Distributed Generation
Alsabah, Humoud	Multiregional Oligopoly with Capacity Constraints
Alves, Romulo	The Information Content of Commodity Futures Markets
Anatolyev, Stanislav	Does Index Arbitrage Distort Market Reaction to Shocks?
Angelus, Alexandar	Distributed Renewable Power Generation and Implications for Capacity Investment and Electricity Prices
B
Baffes, John	The Role of Income in Commodity Demand for Industrial Raw Materials
Bahiri, Ali	Metals' Price Elasticity of Normalized Excess Supply
Baker, Steven	Asset Prices and Portfolios with Externalities
Bartram, Sohnke	Real Effects of Climate Policy: Financial Constraints and Spillovers
Basei, Matteo	The Coordination of Centralised and Distributed Generation
Batista Soares, David	Efficiency and Volatility of Spot and Futures Agricultural Markets: Impact of Trade Frequencies
Batista Soares, David	Rational destabilization in Commodity Markets
Bernard, Benjamin	Multiregional Oligopoly with Capacity Constraints
Birge, John	Price Integration in Competitive Markets with Capacitated Transportation Networks
Borocco, Etienne	Rational destabilization in Commodity Markets
Bretto, Alain	Efficiency and Volatility of Spot and Futures Agricultural Markets: Impact of Trade Frequencies
Buchwalter, Bastien	Heterogeneity and Volatility Regimes of Cryptoassets
Bunn, Derek	Strategic Forward Trading and Technology: The Operational Merit-Order Effect Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity
C
Cakanyildirim, Metin	Harvesting Solar Power Foments Prices in a Vicious Cycle: Breaking the cycle with price mechanisms
Capponi, Agostino	Multiregional Oligopoly with Capacity Constraints
Chabi-Yo, Fousseni	Never a Dull Moment: Entropy Risk in Commodity Markets
Chan, Timothy	Price Integration in Competitive Markets with Capacitated Transportation Networks
Chen, Kai	Dutch Disease Revisited: Evidence from a Commodity-Currency Channel
Chen, Ying-Ju	Poverty Mitigation via Solar Panel Adoption: Smart Contract and Targeted Subsidy Design
Chen, Yu	Flexible Tests for USDA Report Announcement Effects In Future Markets
Chow, Victor	Mean-Swap Variance Hedging and Efficiency
Corsten, Daniel	Financial and Operational Risk Management in the Gold Mining Industry Information Asymmetry, Rents, and Price Risk Allocation: An Investigation of the BMW Supply Chain
Corzo, Teresa	Commodity Futures: Does the Traded Volume Influence Research Interest?
Cummins, Mark	** CANCELLED ** Model Risk in Gas Storage Valuation Models
D
D'Ecclesia, Rita Laura	**MOVED FROM SESSION 2D ** Do Diamonds Sparkle in Investor Portfolios?
Da, Zhi	Financialization and Commodity Market Serial Dependence
Dias, José	Heterogeneity and Volatility Regimes of Cryptoassets
Dimoski, Joakim	Dynamic Hedging for the Real Option Management of Electricity Storage with Exchange Rate Risks
Donadelli, Michael	Climate Change Risks, Stock Returns, and the Oil Sector
Dorfman, Jeffrey	Flexible Tests for USDA Report Announcement Effects In Future Markets
Doshi, Hitesh	Never a Dull Moment: Entropy Risk in Commodity Markets
E
Ebrahimi, Nima	Oil Jump Risk
Ederington, Louis	The Relation Between Petroleum Product Futures Prices and Crude Oil Futures Prices
F
Falbo, Paolo	Optimal Integration of Energy Trading and Battery Energy Storage Systems with Renewables
Farajbakhsh Mamaghani, Fariba	Harvesting Solar Power Foments Prices in a Vicious Cycle: Breaking the cycle with price mechanisms
Fernando, Chitru	The Relation Between Petroleum Product Futures Prices and Crude Oil Futures Prices
Figuerola-Ferretti, Isabel	Commodity Futures: Does the Traded Volume Influence Research Interest?
Fleten, Stein-Erik	Dynamic Hedging for the Real Option Management of Electricity Storage with Exchange Rate Risks
Fusai, Gianluca	Risk Neutral Demand Forecast and Real Options Valuation: The Case of Crude Oil Capacity Investment
G
Gambaro, Anna Maria	Risk Neutral Demand Forecast and Real Options Valuation: The Case of Crude Oil Capacity Investment
Gatfaoui, Hayette	A Dynamic Study of the U.S. Natural Gas Market Integration
Geyer-Klingeberg, Jerome	The Impact of Financial Speculation on Commodity Prices: A Meta-Granger Analysis
Ghoddusi, Hamed	Profit Dynamics in Commodity Processing Firms A Risk-Hedging View to Vertical Integration in the Refinery Capacity Price Dynamics of Renewable Identification Numbers Under Uncertainty
Gogolin, Fabian	** CANCELLED ** Model Risk in Gas Storage Valuation Models
Grüning, Patrick	Climate Change Risks, Stock Returns, and the Oil Sector
Guasoni, Paolo	Asset Prices in Segmented and Integrated Markets
Guiotto, Paolo	Combined Custom Hedging
Guo, Qiaozhen	Poverty Mitigation via Solar Panel Adoption: Smart Contract and Targeted Subsidy Design
H
Han, Yufeng	Idiosyncratic Skewness or Coskewness? Evidence from Commodity Futures Return
He, Qiao-Chu	Poverty Mitigation via Solar Panel Adoption: Smart Contract and Targeted Subsidy Design
Hinz, Juri	Optimal Integration of Energy Trading and Battery Energy Storage Systems with Renewables
Hitzemann, Steffen	Climate Change Risks, Stock Returns, and the Oil Sector
Hollifield, Burton	Asset Prices and Portfolios with Externalities
Hou, Kewei	Real Effects of Climate Policy: Financial Constraints and Spillovers Political Uncertainty and Commodity Markets
Hütter, Marie	The Impact of Financial Speculation on Commodity Prices: A Meta-Granger Analysis
I
Iyengar, Garud	Multiregional Oligopoly with Capacity Constraints
J
Jaimungal, Sebastian	Optimal Behaviour of Regulated Firms in Solar Renewable Energy Certificate Markets
Jain, Pk	Determinants of Commodity Market Liquidity
Jotanovic, Vera	**MOVED FROM SESSION 2D ** Do Diamonds Sparkle in Investor Portfolios?
K
Kanamura, Takashi	Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power
Kang, Boda	An Anatomy of the Volatility Term Structure in Crude Oil Futures Markets
Kayhan, Ayla	Determinants of Commodity Market Liquidity
Kearney, Fearghal	** CANCELLED ** Model Risk in Gas Storage Valuation Models
Khokher, Zeigham	Investment Under Uncertainty with Endogenous Costs
Kiely, Greg	** CANCELLED ** Model Risk in Gas Storage Valuation Models
Kiesel, Ruediger	A Fundamental Model for Continuous Intraday Electricity Trading of 15-Minute Contracts
Kim, Sehoon	Real Effects of Climate Policy: Financial Constraints and Spillovers
Kouvelis, Panos	Information Asymmetry, Rents, and Price Risk Allocation: An Investigation of the BMW Supply Chain
Kremer, Marcel	A Fundamental Model for Continuous Intraday Electricity Trading of 15-Minute Contracts
Kronies, Alexander	The Value of Subsidies in Renewable Energy - An Investor's Perspective
Kruttli, Mathias	Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
Kyriakou, Ioannis	Risk Neutral Demand Forecast and Real Options Valuation: The Case of Crude Oil Capacity Investment
L
Lawryshyn, Yuri	Metals' Price Elasticity of Normalized Excess Supply
Lee, Dongwon	Dutch Disease Revisited: Evidence from a Commodity-Currency Channel
Lee, Thomas	The Relation Between Petroleum Product Futures Prices and Crude Oil Futures Prices
Leelasilapasart, Piyachat	Optimal Integration of Energy Trading and Battery Energy Storage Systems with Renewables
Li, Bingxin	Mean-Swap Variance Hedging and Efficiency
Li, Liangchen	Recurrent Stochastic Games for Commodity Oligopolies
Li, Yu	Fundamental Shocks and the Co-Movement of Natural Gas and Electricity Prices
Linn, Scott	The Relation Between Petroleum Product Futures Prices and Crude Oil Futures Prices
Liu, Xiaoran	Using the Binomial Model for the Valuation of Real Options in Computing Optimal Subsidies for Chinese Renewable Energy Investments
Loehndorf, Nils	Gas Storage Valuation in Incomplete Markets
Ludkovski, Michael	Recurrent Stochastic Games for Commodity Oligopolies
Löhndorf, Nils	Dynamic Hedging for the Real Option Management of Electricity Storage with Exchange Rate Risks
M
Maier, Sebastian	Valuing Portfolios of Interdependent Real Options under Exogenous and Endogenous Uncertainties
Markou, Panos	Financial and Operational Risk Management in the Gold Mining Industry Information Asymmetry, Rents, and Price Risk Allocation: An Investigation of the BMW Supply Chain
Martín-Bujack, Karin	Commodity Futures: Does the Traded Volume Influence Research Interest?
Mayer, Herbert	Rebalancing Effects of Commodity Indices on Open Interest, Volume and Prices
Mixon, Scott	Risk Appetite and Intermediation by Swap Dealers
Mo, Xuan	Idiosyncratic Skewness or Coskewness? Evidence from Commodity Futures Return
Mohseni Taheri, Danial	Meeting Corporate Renewable Power Targets
Morovati, Mohammad	Investment Under Uncertainty with Endogenous Costs
Moutzouris, Ioannis	Extrapolative Expectations and the Second-Hand Market for Ships
Mukherjee, Ujjal Kumar	`Not So Naive' (NSN): Threshold Forecasting for Random Walks
Murphy, Bernard	** CANCELLED ** Model Risk in Gas Storage Valuation Models
N
Nadarajah, Selvaprabu	Meeting Corporate Renewable Power Targets Pathwise Optimization for Merchant Energy Production
Nagle, Pete	The Role of Income in Commodity Demand for Industrial Raw Materials
Nersten, Sveinung	Dynamic Hedging for the Real Option Management of Electricity Storage with Exchange Rate Risks
Nikitopoulos, Christina	An Anatomy of the Volatility Term Structure in Crude Oil Futures Markets
Nikolopoulos, Konstantinos	`Not So Naive' (NSN): Threshold Forecasting for Random Walks
Nomikos, Nikos	Extrapolative Expectations and the Second-Hand Market for Ships
O
Onu, Esen	Determinants of Commodity Market Liquidity Risk Appetite and Intermediation by Swap Dealers
Osambela, Emilio	Asset Prices and Portfolios with Externalities
P
Paraschiv, Florentina	A Fundamental Model for Continuous Intraday Electricity Trading of 15-Minute Contracts
Paraskevopoulos, Ioannis	Commodity Futures: Does the Traded Volume Influence Research Interest?
Pavlin, Michael	Price Integration in Competitive Markets with Capacitated Transportation Networks
Pelizzari, Cristian	Optimal Integration of Energy Trading and Battery Energy Storage Systems with Renewables
Peura, Heikki	Strategic Forward Trading and Technology: The Operational Merit-Order Effect
Pflug, Georg	Valuing Portfolios of Interdependent Real Options under Exogenous and Endogenous Uncertainties
Pham, Huyen	The Coordination of Centralised and Distributed Generation
Pirrong, Craig	Oil Jump Risk Learning From Liquidation: The Commodity Futures Convergence Process
Plante, Michael	Closer to One Great Pool? Evidence from Structural Breaks in Oil Price Differentials
Polak, John	Valuing Portfolios of Interdependent Real Options under Exogenous and Endogenous Uncertainties
Prell, Stephan	Adaptive Regression Monte-Carlo for Optimization of a PV-linked Battery Storage
Priolon, Joël	Efficiency and Volatility of Spot and Futures Agricultural Markets: Impact of Trade Frequencies
Prokopczuk, Marcel	An Anatomy of the Volatility Term Structure in Crude Oil Futures Markets The Natural Gas Announcement Puzzle
R
Ramos, Sofia	Heterogeneity and Volatility Regimes of Cryptoassets
Rathgeber, Andreas	Rebalancing Effects of Commodity Indices on Open Interest, Volume and Prices The Impact of Financial Speculation on Commodity Prices: A Meta-Granger Analysis
Ritchken, Peter	Capital Structure and Asset Flexibility
Robe, Michel	Who Holds Positions in Agricultural Futures Markets –– and How?
Roberts, John	Who Holds Positions in Agricultural Futures Markets –– and How?
Rojasavachai, Ravipa	Joint Dynamics of Stock Market Returns and Exchange Rates to Oil Shocks
Roncoroni, Andrea	Combined Custom Hedging
Ronn, Ehud I.	Using the Binomial Model for the Valuation of Real Options in Computing Optimal Subsidies for Chinese Renewable Energy Investments
Roth Tran, Brigitte	Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
Routledge, Bryan	Currency Stability Using Blockchain Technology
S
Sapra, Amar	Optimal Processing and Trading for a Commodity in the Presence of Inventory Conversion Flexibility and Random Supply
Sastry, Trilochan	Optimal Processing and Trading for a Commodity in the Presence of Inventory Conversion Flexibility and Random Supply
Schmid, Florian	Rebalancing Effects of Commodity Indices on Open Interest, Volume and Prices The Impact of Financial Speculation on Commodity Prices: A Meta-Granger Analysis
Secomandi, Nicola	Quadratic Hedging and Optimization of Option Exercise Policies in Incomplete Markets Pathwise Optimization for Merchant Energy Production
Seleznev, Sergei	Does Index Arbitrage Distort Market Reaction to Shocks?
Selezneva, Veronika	Does Index Arbitrage Distort Market Reaction to Shocks?
Seshadri, Sridhar	Optimal Processing and Trading for a Commodity in the Presence of Inventory Conversion Flexibility and Random Supply
Sethuraman, Jay	Multiregional Oligopoly with Capacity Constraints
Shanker, Latha	Futures Market Hedging Pressure, Speculative Pressure and Spot Market Volatility
Shrivats, Arvind	Optimal Behaviour of Regulated Firms in Solar Renewable Energy Certificate Markets
Strickler, Grant	Closer to One Great Pool? Evidence from Structural Breaks in Oil Price Differentials
Su, Zhi	Idiosyncratic Skewness or Coskewness? Evidence from Commodity Futures Return
Szymanowska, Marta	The Information Content of Commodity Futures Markets
T
Tang, Ke	Financialization and Commodity Market Serial Dependence Political Uncertainty and Commodity Markets
Tao, Yubo	Financialization and Commodity Market Serial Dependence
Thomakos, Dimitrios D.	`Not So Naive' (NSN): Threshold Forecasting for Random Walks
Titman, Sheridan	Profit Dynamics in Commodity Processing Firms
Titman, Sheridan	Investment Under Uncertainty with Endogenous Costs
Tompaidis, Stathis	Profit Dynamics in Commodity Processing Firms
Trivella, Alessio	Meeting Corporate Renewable Power Targets
Tsekrekos, Andrianos	Dynamic connectedness measures via MIDAS SVAR
Turcic, Danko	Information Asymmetry, Rents, and Price Risk Allocation: An Investigation of the BMW Supply Chain
V
Vasileiadis, Konstantinos	Dynamic connectedness measures via MIDAS SVAR
Venkatesan, Shyam	Investment Under Uncertainty with Endogenous Costs
W
Wang, Zhan	Mean-Swap Variance Hedging and Efficiency
Wanner, Markus	Rebalancing Effects of Commodity Indices on Open Interest, Volume and Prices
Watugala, Sumudu	Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
Wese Simen, Chardin	The Natural Gas Announcement Puzzle
Wichmann, Robert	The Natural Gas Announcement Puzzle
Wimmer, Thomas	The Impact of Financial Speculation on Commodity Prices: A Meta-Granger Analysis
Wirl, Franz	A Risk-Hedging View to Vertical Integration in the Refinery Capacity
Wong, Kwok Chuen	Asset Prices in Segmented and Integrated Markets
Wozabal, David	Gas Storage Valuation in Incomplete Markets
Wu, Qi	Capital Structure and Asset Flexibility
Y
Yang, Bo	Pathwise Optimization for Merchant Energy Production
Yang, Li	Joint Dynamics of Stock Market Returns and Exchange Rates to Oil Shocks
Ying, Jiahui	Flexible Tests for USDA Report Announcement Effects In Future Markets
Z
Zetlin-Jones, Ariel	Currency Stability Using Blockchain Technology
Zhang, Bohui	Political Uncertainty and Commodity Markets
Zhu, Ian	Price Integration in Competitive Markets with Capacitated Transportation Networks
Zhu, Yifeng	Idiosyncratic Skewness or Coskewness? Evidence from Commodity Futures Return
Zurita, Virgilio	The Low Energy Investor: Energy Risks and the Cross Section of Stock Returns Never a Dull Moment: Entropy Risk in Commodity Markets

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