ECOMFIN2016: ENERGY & COMMODITY FINANCE CONFERENCE 2016
TALK KEYWORD INDEX

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

A
Affine jump-diffusion models
Algorithmic Trading
Allocation
Alternative asset class
alternative investments
Ambiguity aversion
Arbitrage
Arbitrage Pricing
Asset allocation
Asset classes
Asset Pricing
Asymmetric BEKK Model
Asymmetric volatility
B
Backtesting
Backwardation
Basis-momentum
Basket Options
Bayesian Markov Switching Vector Autoregression Impulse Response Functions
Biased Beliefs
Biodiesel markets
biofuel
Bjerksund-Stensland
bonds
bootstrap bias correction
Brent
Brent crude oil
Brownian motion
bubble
business cycle
C
Calendar spread options
Calibration
capacity surplus
Capital budgeting
Carbon Finance
Carbon futures
Carbon Markets
Carbon Tax
Carbon Trading
Cash Flow Extrapolation
cash-and-carry arbitrage
Certainty Equivalent
certificates
Characteristic Function
China’s slowdown
CHP plant
Clean energy
Clean spark spread
CLN
Closed-form formula
Co-integration
CO2 Emission Allowances
cogeneration
cointegration
Cointegration with breaks
Collateral
Commodities
Commoditization
Commodity
Commodity Financialization
commodity futures
Commodity Futures Markets
commodity futures options
Commodity futures returns
Commodity futures volatility Financialization
Commodity Index
Commodity index trading
Commodity indices
Commodity Market
commodity markets
Commodity Price Modelling
Commodity prices
Commodity Return Volatility
commodity storage
Commodity swap
Comovement
competitive storage model
conditional CAPM
Congestion
Congestion revenue right
Consumption
Contango
Convenience yield
Correlation
correlations
Counterparty Credit Risk
Coupling
Credit Value Adjustment
Cross-market linkages
cross-sectional analysis
cross-sectional asset pricing
Crude Oil
crude oil futures
Crude oïl
CVar
D
Dated Brent
Day-ahead forecasting
Day-ahead Prices
Decoupling
default
Default supply auctions
Delta Hedging
diesel
disagreement
Dispatch optimization
Diversification
Dynamic Conditional Correlations
E
Electricity forward prices
electricity load modeling
Electricity market
Electricity markets
electricity plant evaluation
electricity price process
Electricity prices
Electricity spot price
Emission Allowances
Emissions Allowances
Emissions Markets
Emissions permit markets
Emissions trading
Emissions Trading Systems
Energy
Energy Derivatives
energy forward markets
Energy Imbalance Market
energy markets
Energy Mix
Energy Policy
energy prices
Energy storage
environment
equilibrium
Equity returns
Equity variance risk premium
ETF
EU ETS
EU ETS Reform
EU-ETS
European energy markets
event study
exchange rates
Expected shortfall
expectile
exponential GARCH
extreme value estimator
Extreme value theory
Extreme values
F
factor model
Fast Fourier Transform
FCOJ prices
FIGARCH
Financial and Electricity Markets
financial contagion
Financial crisis
Financial demand
Financial Markets
financial return
Financial risk and risk management
Financial transmission right
Financialization
Forecasting oil prices
Forward Bias
forward premium
Forward Prices
Fourier inversion
Fourier inversion methods
fracking
fuel switch
functional data analysis
fundamentals
Funds
Futures
Futures curve modelling
Futures Markets
futures options pricing
futures Premium
Futures price
G
G7 equities
Gap Risk
GARCH models
gas storage models
Gas storage valuation
General Equilibrium
GJR-DCC-GARCH
Global financial crisis
Global market
Global Minimum Variance Portfolio
gold
Gram-Charlier expansion
Granger Causality
Greeks
H
Hamilton-Jacobi-Bellman equation
HAR
HAR-RV
hedge
hedge funds
Hedgers
Hedging
Heterogeneous Agents
Heterogeneous Preferences
heteroskedasticity
high frequency data
high frequency trading
hybrid model
I
ICAPM
ICE Brent Crude futures
Implied Volatility
index construction
index investors
Index Traders
Indexing
Indifference Pricing
Industrial organization-Market structure
industry stock returns
information assimilation
Institutional traders
Integration of Markets
Intra-Day electricity market
Intraday Data
Intraday Jump
inventories
Inventory
Iran
J
Jump activity
jump-diffusion stochastic processes
K
Kalman Filtering
Kirk
Knightian uncertainty
L
law of one price
Limit order book
limits to arbitrage
Liquidity
log-GARCH
Long-dated crude oil derivatives
Long-term seasonal component
Lottery-like payoffs
Lévy processes
M
M-estimator
Macroeconomic uncertainty
Mark-to-Market
market efficiency
Market integration
market making
market microstructure
Market Stability Reserve
market structure
Markov switching
Markov-switching model
maturity-specific hedging pressure
maximum likelihood
MCS
Mean-Reverting Variance Gamma processes
measures of speculation and hedging
merit order
Metal Return Volatility
metals
Methanol
model risk
Model specification
momentum
Monte-Carlo simulations
mortgage
Multi-factor stochastic volatility
multiple structural changes
multivariate
Multivariate GARCH
Multivariate GARCH-in-mean
multivariate regression
N
Natural experiment
natural gas
natural gas market
Natural Resources
Netting
Networks
New Zealand
News
noise traders
non-parametric
nonparametric estimation
numerical differentiation
NZ ETS
O
oil
oil company stock price
Oil futures curve
oil futures markets
oil futures price
Oil industry
Oil price
Oil Price Volatility
oil prices
Oil risk
oil storage
Optimal Control
Optimal stochastic control
Optimal Trading
option market volatility
Option pricing
Options
orange juice
Outlier
P
pair trading
Pairs trading
parameter risk
Pass-Through
pca
penalisation
Performance
Performance evaluation
physical oil benchmark
plant outage
Policy Design
Portfolio choice
portfolio diversication
portfolio diversification
Portfolio strategies
power derivatives
power options
precious metals
Predictability
price
Price Discovery
price fixing
Price formation
price forward curves
Price Shocks
price spikes
price volatility
prices
principal component analysis
probabilistic forecasting
Production
providers of last resort
public information announcements
R
random walk
Rate of Convergence
Real Options
Realized Beta
Realized Volatility
reduced rank regression
regime shifts
Regime-switching
renewable energy
Renewable Energy Sources
renewables
reserve capacity
reserve margin
Resilience
Responsiveness
Risk
Risk Management
Risk Measures
risk premia
risk premium
Risk premiums
Risk Shifting
Risk-Aversion
risk-neutral measure
Robust modeling
Robust Pricing
rolling regression
rollover
RSDC model
S
safe haven
safe heaven
Sanctions
save haven
scarcity function
scenario analysis
seasonal risk premiums
Sentiment Analysis
Shaping Coefficients
Shipping Market
Shocks
simulation
skew-Student asymmetric BEKK
Skewed-t
Skewness
Spanning tests
spatio-temporal models
Speculation
Speculators
Spillovers
spot and forward prices
Spot and Futures Prices
spot oil markets
Spread options
Stable price-inventory relationship
State space modeling
Stochastic backwards dynamic programming
Stochastic control
Stochastic Dominance
Stochastic dominance efficiency
stochastic interest rates
stochastic process
stochastic volatility
stock and commodity market correlation
stock market
stock market panic
Stock returns
storage
Storage valuation
strategic asset allocation
Structural breaks
Structural change
structural changes
structural model
Style effect
Supply Management Mechanism
supply stack
T
Tail risks
Tanker freight rates
tastes
Thermal asset
Threshold Model
time-varying risk premia
time-varying volatility spillovers
Trading
Trading Activity
Trading Volume
transaction costs
Transmission
U
U.S. Business Cycle
UK Economy
uncertainty
uncertainty forecasting
unevenly spaced observations
unexpected wealth shock
utility maximization
V
value
Value-at-Risk
VAR
Variance risk premia
Variance swaps
VECM with breaks
Vector autoregression
Vector Autoregressions
Vessel Valuation
Virtual Power Plant
VIX VSTOXX
Volatility
Volatility forecasting
volatility impulse-response function
Volatility indices
Volatility Persistence
Volatility regimes
volatility risk
volatility smile
volatility spillover
Volatility spillovers
W
Wavelet
wind
Wrong and Right way risk
WTI
Z
zero beta asset