ECOMFIN2016: ENERGY & COMMODITY FINANCE CONFERENCE 2016

A
Abid, Ilyes	Oil Risk and Financial Contagion
Ahn, Jung-Hyun	Investing in commodity: why duplicating inventories?
Almansur, Abdullah Mohammed	Hedging Gone Wild: Was Delta Airlines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
Anthropelos, Michail	An equilibrium model for spot and forward prices of commodities
B
Ballotta, Laura	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
Baltaduonis, Rimvydas	Abnormal Returns in Markets for Congestion Revenue Rights
Barone-Adesi, Giovanni	WTI Crude oil option implied VaR and CVaR: an empirical application
Beckmann, Joscha	Gold Prices and Uncertainty
Benschop, Thijs	Realized volatility of CO2 futures
Benth, Fred Espen	Structural model for electricity forward prices
Berger, Theo	Gold Prices and Uncertainty
Berk, Kevin	Modeling Electricity Load with Inhomogeneous Markov-Switching Models
Bonaparte, Yosef	Oil Price Uncertainty Index: Capturing Media Information
Bonar, Samuel	Abnormal Returns in Markets for Congestion Revenue Rights
Bonato, Matteo	Comovement and the Financialization of Commodities
Boons, Martijn	Basis-momentum
Bosch, David	Price Discovery and Trading Activity in Commodity Futures Markets
Bouoiyour, Jamal	The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach
Boyd, Naomi
Branger, Nicole	Commodities, Financialization, and Heterogeneous Agents
Bredin, Don	Is information assimilated at announcements in the European Carbon Market?
Byun, Sung Je	Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil
C
Carnes, John	Abnormal Returns in Markets for Congestion Revenue Rights
Cartea, Alvaro	Model Uncertainty in Electricity Interconnector Markets
Carter, Colin	WTI and Brent Futures Pricing Structure
Casassus, Jaime	The Economic Impact of Oil on Industry Portfolios
Charlot, Philippe	Commodity returns co-movements: Fundamentals or “style”?
Chen, Jiayuan	Is information assimilated at announcements in the European Carbon Market?
Cheng, Benjamin	Empirical pricing performance on long-dated crude oil derivatives: Do models with stochastic interest rates matter?
Chevallier, Julien	Spillover effect of stock market panic on crude oil and natural gas markets Oil Risk and Financial Contagion
Cochran, Steve	Threshold Effects of the Term Spread in Commodity Returns and Return Volatilities: A Double Threshold FIGARCH Approach
Coghe, Paolo	GOINGS ON ABOUT ENERGY COMMODITIES IN EUROPE
Cotter, John	Predictability and Diversification Benefits of Investing in Commodity and Currency Futures
Coughlan, Joseph	Oil Prices Volatility during Crises Periods
Coulon, Michael	The Role of Fundamentals as Price Drivers in the Frozen Concentrated Orange Juice (FCOJ) Market
Creti, Anna	Oil Risk and Financial Contagion
Cummins, Mark	Gas storage valuation under Lévy processes using the Fast Fourier Transform Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement The Influence of Twitter Sentiment in the EU Emissions Trading Scheme
Cunningham, Chris	Unexpected Wealth Change and Mortgage Default: Evidence from the Shale Gas Boom
Czudaj, Robert	Gold Prices and Uncertainty
D
D'Ecclesia, Rita Laura	Are Diamonds a safe haven. A financial basket index for diamonds.
Da Fonseca, Jose	Jump Activity Analysis for Affine Jump-diffusion Models: Evidences from the Commodity Market
Dahl, Roy Endre
Darné, Olivier	Commodity returns co-movements: Fundamentals or “style”?
Daskalaki, Charoula	Diversification benefits of commodities: A stochastic dominance efficiency approach
de Menezes, Lilian M.	The volatility of natural gas prices in the United Kingdom market: drivers and spillover effects
Declerck, Francis	Oil and Oil Company Stock Prices: Cointegration with Changing Regimes Dynamics and structural breaks between the biofuel, resources and oil prices on the European market
Dedes, Vasilis	The Economic Value of TIPS Arbitrage Mispricing
Deeney, Peter	The Influence of Twitter Sentiment in the EU Emissions Trading Scheme
Degiannakis, Stavros	Forecasting oil price realized volatility: A new approach
Del Brio, Esther	Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall
Diaz-Rainey, Ivan	Carbon Pricing in New Zealand’s Emissions Trading Scheme
Dowling, Michael	The Influence of Twitter Sentiment in the EU Emissions Trading Scheme
E
Ederington, Louis	Arbitrage and the Financial-Physical Nexus in Commodity Markets
Edoli, Enrico	Optimal intra-day power trading with a Gaussian additive process
Escribano, Alvaro	Modelling the Complex Dynamics of Daily Electricity Price Return Volatility
Eyiah-Donkor, Emmanuel	Predictability and Diversification Benefits of Investing in Commodity and Currency Futures
F
Falbo, Paolo	Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
Fernandez-Perez, Adrian	The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Fernando, Chitru	Arbitrage and the Financial-Physical Nexus in Commodity Markets
Figuerola-Ferretti, Isabel	Have oil prices really exhibited bubble behavior? pre-crises and recent evidence using OVX adjusted prices suggest not
Filis, George	Forecasting oil price realized volatility: A new approach
Frijns, Bart	The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Frino, Alex	Anticipatory Trading in Brent Futures: Evidence from the unregulated Dated Brent Benchmark
Frydenberg, Stein	Can Commodities Dominate Stock and Bond Portfolios?
Ftiti, Zied	Intraday relationship between jumps and trading volume on energy futures markets: A wavelet approach
Fuertes, Ana-Maria	The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Fusai, Gianluca	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
G
Gallana, Marco	Optimal intra-day power trading with a Gaussian additive process
Gatfaoui, Hayette	Capturing Long‐Term Coupling and Short‐Term Decoupling Crude Oil and Natural Gas Prices
Geman, Helyette	Intraday Pairs Trading Strategies on High Frequency Data: The Case of Oil Companies
Gerardi, Kristopher	Unexpected Wealth Change and Mortgage Default: Evidence from the Shale Gas Boom
Gianfreda, Angelica	Assessing Model Risk in Financial and Power Markets using Dynamic Conditional VaRs
Gleich, Benedikt	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
Gounopoulos, Dimitrios	Determinants of shipping market fluctuations: A Bayesian Markov switching three state approach
Grasso, Margherita Stella	How to get the maximum value from your power plant's hedging
Green, Rikard	Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Grüning, Patrick	Commodities, Financialization, and Heterogeneous Agents
Guesmi, Khaled	Oil Risk and Financial Contagion
Guiotto, Paolo	How Firms Should Hedge Non-Tradable Risk?
Gómez-Valle, Lourdes	Pricing commodity futures and options by means of jump-diffusion risk-neutral processes estimation
H
Habibilashkary, Ziba	Pricing commodity futures and options by means of jump-diffusion risk-neutral processes estimation
Hache, Emmanuel	Sanctions against Iran: An assessment of their global impact through the lens of international Methanol prices
Hachula, Michael	Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility
Harms, Cord	Application of Electricity Bid Stack Models for Dynamic Hedging Purposes
Henriksen, Tom Erik	Can Commodities Dominate Stock and Bond Portfolios?
Higuera, Freddy	The Economic Impact of Oil on Industry Portfolios
Hinz, Juri	Optimal Control Of Battery Storage For Renewable Electricity Generation
Holland, Kateryna	Arbitrage and the Financial-Physical Nexus in Commodity Markets
Huisman, Ronald	Risk and Decision Making for Electricity Forward Markets with Volatile Resources
Härdle, Wolfgang	Wind Energy Risk Modelling in Ultra-High Dimensional Space
I
Ibikunle, Gbenga	Anticipatory Trading in Brent Futures: Evidence from the unregulated Dated Brent Benchmark
Ignatieva, Katja	Jump Activity Analysis for Affine Jump-diffusion Models: Evidences from the Commodity Market
Inci, A. Can	Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence
Indjehagopian, Jean-Pierre	Oil and Oil Company Stock Prices: Cointegration with Changing Regimes Dynamics and structural breaks between the biofuel, resources and oil prices on the European market
J
Jaimungal, Sebastian	Model Uncertainty in Electricity Interconnector Markets
Jawadi, Fredj	Intraday relationship between jumps and trading volume on energy futures markets: A wavelet approach
Johansen, Knut Anders Kjelaas
Jotanovic, Vera	Are Diamonds a safe haven. A financial basket index for diamonds.
K
Kayal, Parthajit	A Study of Excess Volatility of Gold and Silver
Ketter, Wolf	Risk and Decision Making for Electricity Forward Markets with Volatile Resources
Kharma, Celine	Microstructure of gold Exchange Traded Funds
Kiely, Greg	Gas storage valuation under Lévy processes using the Fast Fourier Transform Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
Kiesel, Ruediger	Application of Electricity Bid Stack Models for Dynamic Hedging Purposes
Kirilenko, Andrei	Speculative Floating Oil
Kollenberg, Sascha	Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve
Koolen, Derck	Risk and Decision Making for Electricity Forward Markets with Volatile Resources
Kupper, Michael	An equilibrium model for spot and forward prices of commodities
L
Laly, Floris	On the Risk-Return Contribution of Commodities in Diversified Portfolios
Lantz, Frédéric	Dynamics and structural breaks between the biofuel, resources and oil prices on the European market
Larsson, Karl	Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Lauenstein, Philipp	Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models
Lecesne, Lionel	How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions?
Lee, Soomin	A Theory of High Frequency Market Making in Fragmented Markets
Lee, Thomas	Arbitrage and the Financial-Physical Nexus in Commodity Markets
Leoni, Peter	Multivariate Constrained Robust M-Regression for Shaping Forward Curves in Energy Markets
Linn, Scott	Arbitrage and the Financial-Physical Nexus in Commodity Markets
Liu, Peng
Locke, Peter
Lopez Cabrera, Brenda	Realized volatility of CO2 futures
Lopez Cabrera, Brenda	Wind Energy Risk Modelling in Ultra-High Dimensional Space
Lorusso, Marco	Causes and Consequences of Oil Price Shocks on the UK Economy
Louhichi, Wael	Intraday relationship between jumps and trading volume on energy futures markets: A wavelet approach
Lunina, Veronika	Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Lutzenberger, Fabian	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
M
Maheswaran, S	A Study of Excess Volatility of Gold and Silver
Manotas-Duque, Diego	Risk Asymmetries in Hydrothermal Power Generation Markets
Mansur, Iqbal	Threshold Effects of the Term Spread in Commodity Returns and Return Volatilities: A Double Threshold FIGARCH Approach
Marazzina, Daniele	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
Marque, Bruno	Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets
Martinez, Beatriz	Anatomy of risk premium in UK natural gas futures
Martínez-Rodríguez, Julia	Pricing commodity futures and options by means of jump-diffusion risk-neutral processes estimation
Maryniak, Paweł	Carbon Pass-Through Rates in Australian Electricity Futures Markets
Massol, Olivier	Sanctions against Iran: An assessment of their global impact through the lens of international Methanol prices
Mastrangelo, Erin	Abnormal Returns in Markets for Congestion Revenue Rights
Mayer, Herbert	Financialization of Commodity Markets – Evidence from European Certificates Markets Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
Mccrorie, Rod	Have oil prices really exhibited bubble behavior? pre-crises and recent evidence using OVX adjusted prices suggest not
Megginson, William L.	Hedging Gone Wild: Was Delta Airlines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
Melzer, Awdesch	Wind Energy Risk Modelling in Ultra-High Dimensional Space
Miarelli, Marco	How to get the maximum value from your power plant's hedging
Miffre, Joelle	The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Mollica, Vito	Anticipatory Trading in Brent Futures: Evidence from the unregulated Dated Brent Benchmark
Mora-Valencia, Andrés	Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall
Morales, Lucía	Oil Prices Volatility during Crises Periods
Moriarty, John	Energy imbalance market call options and the valuation of storage
Mosquera-López, Stephania	Risk Asymmetries in Hydrothermal Power Generation Markets
Moussa, Zakaria	Commodity returns co-movements: Fundamentals or “style”?
Moutzouris, Ioannis	Vessel Price Formation and Second Hand Market Activity in the Dry Bulk Shipping Industry
Muckley, Cal	Is information assimilated at announcements in the European Carbon Market?
Murphy, Bernard	Gas storage valuation under Lévy processes using the Fast Fourier Transform Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
Müller, Alfred	Modeling Electricity Load with Inhomogeneous Markov-Switching Models
N
Nakajima, Katsushi	Commodity Spot and Futures Prices with a Firm's Optimal Strategy
Narayan, Paresh	Can Stale Oil Price News Predict Stock Returns?
Ng, Alex	Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms
Nilsson, Birger	Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Nomikos, Nikos	Vessel Price Formation and Second Hand Market Activity in the Dry Bulk Shipping Industry
Nowotarski, Jakub	On the importance of the long-term seasonal component in day-ahead electricity price forecasting
O
Odusami, Babatunde	Threshold Effects of the Term Spread in Commodity Returns and Return Volatilities: A Double Threshold FIGARCH Approach
P
Palczewski, Jan	Energy imbalance market call options and the valuation of storage
Paltalidis, Nikos	Determinants of shipping market fluctuations: A Bayesian Markov switching three state approach
Papapantoleon, Antonis	An equilibrium model for spot and forward prices of commodities
Papież, Monika	In search of hedges and safe havens: evidence from rolling regression approach
Paraschiv, Florentina	Structural model for electricity forward prices
Paraskevopoulos, Ioannis	Have oil prices really exhibited bubble behavior? pre-crises and recent evidence using OVX adjusted prices suggest not
Pelizzari, Cristian	Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
Pellegrino, Tommaso	A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options
Perote, Javier	Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall
Petitjean, Mikael	On the Risk-Return Contribution of Commodities in Diversified Portfolios
Peña, Juan Ignacio	Default supply auctions incentive hedging in power derivatives markets
Phan, Dinh	Can Stale Oil Price News Predict Stock Returns?
Pichler, Alois	Can Commodities Dominate Stock and Bond Portfolios?
Pieroni, Luca	Causes and Consequences of Oil Price Shocks on the UK Economy
Pirrong, Craig
Poti, Valerio	Predictability and Diversification Benefits of Investing in Commodity and Currency Futures
Pradkhan, Elina	Price Discovery and Trading Activity in Commodity Futures Markets
Prado, Melissa	Basis-momentum
Prokopczuk, Marcel	Variance Risk Premia in Commodity Markets
Prokopczuk, Marcel	On the Economic Sources of Commodity Market Volatility
Pugachev, Leo	Hedging Gone Wild: Was Delta Airlines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
Q
Qin, Zhen	Model Uncertainty in Electricity Interconnector Markets
Qiu, Liangfei	Risk and Decision Making for Electricity Forward Markets with Volatile Resources
Qiu, Zhigang
R
Raman, Vikas	Financialization, e-Trading, and Commodity Market Quality
Ramos, Sofia	Energy industry's market value and oil price
Rannou, Yves	Order placement strategy and price formation under risk averse investors’ preference: the perspective of European carbon markets
Rathgeber, Andreas	Financialization of Commodity Markets – Evidence from European Certificates Markets Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
Revoreda-Giha, Cesar	WTI and Brent Futures Pricing Structure
Rieth, Malte	Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility
Robe, Michel	Financialization, e-Trading, and Commodity Market Quality
Rodriguez, Rosa	Default supply auctions incentive hedging in power derivatives markets
Roncoroni, Andrea	How Firms Should Hedge Non-Tradable Risk?
Roncoroni, Andrea	How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions?
Russo, Marianna	The volatility of natural gas prices in the United Kingdom market: drivers and spillover effects
S
Scandolo, Giacomo	Assessing Model Risk in Financial and Power Markets using Dynamic Conditional VaRs
Scheitrum, Daniel	WTI and Brent Futures Pricing Structure
Schlag, Christian	Commodities, Financialization, and Heterogeneous Agents
Schlogl, Erik	Empirical pricing performance on long-dated crude oil derivatives: Do models with stochastic interest rates matter?
Schneider, Lorenz	From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options
Selmi, Refk	The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach
Serneels, Sven	Multivariate Constrained Robust M-Regression for Shaping Forward Curves in Energy Markets
Seyhun, Nejat	Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence
Shen, Yannan Lily	Unexpected Wealth Change and Mortgage Default: Evidence from the Shale Gas Boom
Simkins, Betty	A Review of the Literature on Commodity Risk Management
Six, Pierre	Investing in commodity: why duplicating inventories?
Skiadopoulos, George	Diversification benefits of commodities: A stochastic dominance efficiency approach
Sklibosios Nikitopoulos, Christina	Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility Empirical pricing performance on long-dated crude oil derivatives: Do models with stochastic interest rates matter?
Smeaton, Alan F.	The Influence of Twitter Sentiment in the EU Emissions Trading Scheme
Sousa, Ricardo	U.S. equity and commodity futures markets: hedging or financialization?
Squires, Matthew	Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility
Steffen, Tom	Anticipatory Trading in Brent Futures: Evidence from the unregulated Dated Brent Benchmark
Stepanek, Christian	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
Sucarrat, Genaro	Modelling the Complex Dynamics of Daily Electricity Price Return Volatility
Sun, Li
Symeonidis, Lazaros	On the Economic Sources of Commodity Market Volatility
T
Taschini, Luca	Comovement and the Financialization of Commodities Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
Tavin, Bertrand	From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options
Tedongap, Romeo	The Economic Value of TIPS Arbitrage Mispricing
Thiem, Christopher	Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework
Thorp, Susan	Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility
Topaloglou, Nikolas	Diversification benefits of commodities: A stochastic dominance efficiency approach
Torró, Hipòlit	Anatomy of risk premium in UK natural gas futures
Trueck, Stefan	Carbon Pass-Through Rates in Australian Electricity Futures Markets
Tulloch, Daniel J	Carbon Pricing in New Zealand’s Emissions Trading Scheme
U
Ulze, Markus	Financialization of Commodity Markets – Evidence from European Certificates Markets
Urga, Giovanni	The volatility of natural gas prices in the United Kingdom market: drivers and spillover effects
Uribe, Jorge	Risk Asymmetries in Hydrothermal Power Generation Markets
V
Vargiolu, Tiziano	Optimal intra-day power trading with a Gaussian additive process
Veiga, Helena	Energy industry's market value and oil price
Veillard, Xavier	The Global Biodiesel Market Financial Commoditization
Verdonck, Tim	Multivariate Constrained Robust M-Regression for Shaping Forward Curves in Energy Markets
W
Walther, Thomas	Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models
Wang, Chih-Wei	Energy industry's market value and oil price
Wanner, Markus	Financialization of Commodity Markets – Evidence from European Certificates Markets
Weron, Rafal	Carbon Pass-Through Rates in Australian Electricity Futures Markets On the importance of the long-term seasonal component in day-ahead electricity price forecasting
Wese Simen, Chardin	Variance Risk Premia in Commodity Markets
Westgaard, Sjur	Can Commodities Dominate Stock and Bond Portfolios?
Wottka, Thomas	An Extended Multi-Factor Structural Model for the Electricity Market
X
Xu, Xiaoyu
Y
Yadav, Pradeep	Financialization, e-Trading, and Commodity Market Quality
Yee, Jeremy	Optimal Control Of Battery Storage For Renewable Electricity Generation
Yeung, Danny	Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility
Z
Zavadska, Miroslava	Oil Prices Volatility during Crises Periods
Zhang, Yue Jun	Spillover effect of stock market panic on crude oil and natural gas markets
Zheng, Di	Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms
Ś
Śmiech, Sławomir	In search of hedges and safe havens: evidence from rolling regression approach

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