Program for Thursday, June 23rd: Talk View

PROGRAM FOR THURSDAY, JUNE 23RD: TALK VIEW

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View: with abstracts session overview

9:00

9:30

10:00

10:30

11:00

11:30

12:00

12:30

13:00

13:30

14:00

14:30

15:00

15:30

16:00

16:30

17:00

17:30

18:00

18:30

08:45-09:00 Welcome Session

09:00-10:30 Keynote speech: Nicola Secomandi (Carnegie Mellon University)

11:00-11:30

Can Commodities Dominate Stock and Bond Portfolios?

Tom Erik Henriksen, Alois Pichler, Sjur Westgaard, Stein Frydenberg

11:30-12:00

Predictability and Diversification Benefits of Investing in Commodity and Currency Futures

John Cotter, Emmanuel Eyiah-Donkor, Valerio Poti

12:00-12:30

On the Risk-Return Contribution of Commodities in Diversified Portfolios

Floris Laly, Mikael Petitjean

11:00-11:30

Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve

Sascha Kollenberg, Luca Taschini

11:30-12:00

Carbon Pricing in New Zealand’s Emissions Trading Scheme

Ivan Diaz-Rainey, Daniel J Tulloch

12:00-12:30

The Influence of Twitter Sentiment in the EU Emissions Trading Scheme

Peter Deeney, Mark Cummins, Michael Dowling, Alan F. Smeaton

11:00-11:30

WTI Crude oil option implied VaR and CVaR: an empirical application

Giovanni Barone-Adesi

11:30-12:00

Assessing Model Risk in Financial and Power Markets using Dynamic Conditional VaRs

Angelica Gianfreda, Giacomo Scandolo

12:00-12:30

Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall

Esther Del Brio, Andrés Mora-Valencia, Javier Perote

11:00-11:30

The volatility of natural gas prices in the United Kingdom market: drivers and spillover effects

Lilian M. de Menezes, Marianna Russo, Giovanni Urga

11:30-12:00

Unexpected Wealth Change and Mortgage Default: Evidence from the Shale Gas Boom

Yannan Lily Shen, Kristopher Gerardi, Chris Cunningham

12:00-12:30

Capturing Long‐Term Coupling and Short‐Term Decoupling Crude Oil and Natural Gas Prices

Hayette Gatfaoui

11:00-11:30

Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence

A. Can Inci, Nejat Seyhun

11:30-12:00

Intraday relationship between jumps and trading volume on energy futures markets: A wavelet approach

Zied Ftiti, Fredj Jawadi, Wael Louhichi

12:00-12:30

WTI and Brent Futures Pricing Structure

Daniel Scheitrum, Colin Carter, Cesar Revoreda-Giha

11:00-11:30

Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil

Sung Je Byun

11:30-12:00

Speculative Floating Oil

Andrei Kirilenko

12:00-12:30

Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility

Christina Sklibosios Nikitopoulos, Matthew Squires, Susan Thorp, Danny Yeung

11:00-11:30

Risk and Decision Making for Electricity Forward Markets with Volatile Resources

Derck Koolen, Ronald Huisman, Wolf Ketter, Liangfei Qiu

11:30-12:00

An Extended Multi-Factor Structural Model for the Electricity Market

Thomas Wottka

13:30-14:00

Variance Risk Premia in Commodity Markets

Marcel Prokopczuk, Chardin Wese Simen

14:00-14:30

The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?

Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes, Joelle Miffre

14:30-15:00

Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis

A. Rathgeber, B. Gleich, F. Lutzenberger, H. Mayer, C. Stepanek

13:30-15:00 Commodity Comovement

13:30-14:00

Optimal Control Of Battery Storage For Renewable Electricity Generation

Juri Hinz, Jeremy Yee

14:00-14:30

Wind Energy Risk Modelling in Ultra-High Dimensional Space

Awdesch Melzer, Wolfgang Härdle, Brenda Lopez Cabrera

14:30-15:00

Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets

Paolo Falbo, Cristian Pelizzari, Luca Taschini

13:30-14:00

Dynamics and structural breaks between the biofuel, resources and oil prices on the European market

Francis Declerck, Frédéric Lantz, Jean-Pierre Indjehagopian

14:00-14:30

A Theory of High Frequency Market Making in Fragmented Markets

Soomin Lee

14:30-15:00

Order placement strategy and price formation under risk averse investors’ preference: the perspective of European carbon

Yves Rannou

13:30-14:00

Oil Risk and Financial Contagion

Khaled Guesmi, Ilyes Abid, Anna Creti, Julien Chevalier

14:00-14:30

The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach

Jamal Bouoiyour, Refk Selmi

14:30-15:00

Oil Prices Volatility during Crises Periods

Miroslava Zavadska, Lucía Morales, Joseph Coughlan

13:30-14:00

How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions?

Lionel Lecesne, Andrea Roncoroni

14:00-14:30

Investing in commodity: why duplicating inventories?

Jung-Hyun Ahn, Pierre Six

14:30-15:00

Diversification benefits of commodities: A stochastic dominance efficiency approach

Nikolas Topaloglou, Charoula Daskalaki, George Skiadopoulos

13:30-14:00

Financialization of Commodity Markets – Evidence from European Certificates Markets

Herbert Mayer, Markus Ulze, Andreas Rathgeber, Markus Wanner

14:00-14:30

Arbitrage and the Financial-Physical Nexus in Commodity Markets

Louis Ederington, Chitru Fernando, Kateryna Holland, Thomas Lee, Scott Linn

14:30-15:00

An equilibrium model for spot and forward prices of commodities

Michail Anthropelos, Michael Kupper, Antonis Papapantoleon

13:30-14:00

Abnormal Returns in Markets for Congestion Revenue Rights

Rimvydas Baltaduonis, Samuel Bonar, John Carnes, Erin Mastrangelo

14:00-14:30

Default supply auctions incentive hedging in power derivatives markets

Juan Ignacio Peña, Rosa Rodriguez

15:30-16:00

Threshold Effects of the Term Spread in Commodity Returns and Return Volatilities: A Double Threshold FIGARCH

Steve Cochran, Iqbal Mansur, Babatunde Odusami

16:00-16:30

On the Economic Sources of Commodity Market Volatility

Marcel Prokopczuk, Lazaros Symeonidis

15:30-16:00

Gold Prices and Uncertainty

Joscha Beckmann, Theo Berger, Robert Czudaj

16:00-16:30

Microstructure of gold Exchange Traded Funds

Celine Kharma

16:30-17:00

A Study of Excess Volatility of Gold and Silver

Parthajit Kayal, S Maheswaran

15:30-16:00

Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets

Rikard Green, Karl Larsson, Veronika Lunina, Birger Nilsson

16:00-16:30

Modeling Electricity Load with Inhomogeneous Markov-Switching Models

Kevin Berk, Alfred Müller

16:30-17:00

On the importance of the long-term seasonal component in day-ahead electricity price forecasting

Jakub Nowotarski, Rafal Weron

15:30-16:00

Model Uncertainty in Electricity Interconnector Markets

Alvaro Cartea, Sebastian Jaimungal, Zhen Qin

16:00-16:30

Jump Activity Analysis for Affine Jump-diffusion Models: Evidences from the Commodity Market

Jose Da Fonseca, Katja Ignatieva

16:30-17:00

Empirical pricing performance on long-dated crude oil derivatives: Do models with stochastic interest rates

Christina Nikitopoulos, Benjamin Cheng, Erik Schlogl

15:30-16:00

Risk Asymmetries in Hydrothermal Power Generation Markets

Stephania Mosquera-López, Diego Manotas-Duque, Jorge Uribe

16:00-16:30

Application of Electricity Bid Stack Models for Dynamic Hedging Purposes

Cord Harms, Ruediger Kiesel

16:30-17:00

How to get the maximum value from your power plant's hedging

Margherita Stella Grasso, Marco Miarelli

15:30-16:00

Energy industry's market value and oil price

Sofia Ramos, Helena Veiga, Chih-Wei Wang

16:00-16:30

Intraday Pairs Trading Strategies on High Frequency Data: The Case of Oil Companies

Helyette Geman

16:30-17:00

Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms

Alex Ng, Di Zheng

15:30-16:00

Anatomy of risk premium in UK natural gas futures

Beatriz Martinez, Hipòlit Torró

16:00-16:30

The Economic Value of TIPS Arbitrage Mispricing

Vasilis Dedes, Romeo Tedongap

16:30-17:00

Basis-momentum

Martijn Boons, Melissa Prado

17:00-18:30 Energy and Commodity Finance Association Meeting

10:30-11:00 Coffee Break

12:30-13:30 Lunch Break

15:00-15:30 Coffee Break