ECOMFIN2016: ENERGY & COMMODITY FINANCE CONFERENCE 2016

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

A
Affine jump-diffusion models	Jump Activity Analysis for Affine Jump-diffusion Models: Evidences from the Commodity Market
Algorithmic Trading	Model Uncertainty in Electricity Interconnector Markets
Allocation	How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions?
Alternative asset class	Diversification benefits of commodities: A stochastic dominance efficiency approach
alternative investments	Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms
Ambiguity aversion	Model Uncertainty in Electricity Interconnector Markets
Arbitrage	Microstructure of gold Exchange Traded Funds WTI and Brent Futures Pricing Structure
Arbitrage Pricing	How Firms Should Hedge Non-Tradable Risk?
Asset allocation	Predictability and Diversification Benefits of Investing in Commodity and Currency Futures Can Commodities Dominate Stock and Bond Portfolios?
Asset classes	Predictability and Diversification Benefits of Investing in Commodity and Currency Futures
Asset Pricing	Carbon Pricing in New Zealand’s Emissions Trading Scheme The Economic Impact of Oil on Industry Portfolios Vessel Price Formation and Second Hand Market Activity in the Dry Bulk Shipping Industry
Asymmetric BEKK Model	Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework
Asymmetric volatility	Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models
B
Backtesting	Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall
Backwardation	The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Basis-momentum	Basis-momentum
Basket Options	A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options
Bayesian Markov Switching Vector Autoregression Impulse Response Functions	Determinants of shipping market fluctuations: A Bayesian Markov switching three state approach
Biased Beliefs	Vessel Price Formation and Second Hand Market Activity in the Dry Bulk Shipping Industry
Biodiesel markets	The Global Biodiesel Market Financial Commoditization
biofuel	Dynamics and structural breaks between the biofuel, resources and oil prices on the European market
Bjerksund-Stensland	Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets
bonds	Gold Prices and Uncertainty
bootstrap bias correction	Optimal intra-day power trading with a Gaussian additive process
Brent	WTI and Brent Futures Pricing Structure Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence
Brent crude oil	Forecasting oil price realized volatility: A new approach
Brownian motion	A Study of Excess Volatility of Gold and Silver
bubble	Have oil prices really exhibited bubble behavior? pre-crises and recent evidence using OVX adjusted prices suggest not
business cycle	The Economic Impact of Oil on Industry Portfolios
C
Calendar spread options	From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options
Calibration	Application of Electricity Bid Stack Models for Dynamic Hedging Purposes
capacity surplus	An Extended Multi-Factor Structural Model for the Electricity Market
Capital budgeting	Hedging Gone Wild: Was Delta Airlines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
Carbon Finance	Carbon Pricing in New Zealand’s Emissions Trading Scheme
Carbon futures	Order placement strategy and price formation under risk averse investors’ preference: the perspective of European carbon markets
Carbon Markets	Carbon Pricing in New Zealand’s Emissions Trading Scheme
Carbon Tax	Carbon Pass-Through Rates in Australian Electricity Futures Markets
Carbon Trading	The Influence of Twitter Sentiment in the EU Emissions Trading Scheme Is information assimilated at announcements in the European Carbon Market?
Cash Flow Extrapolation	Vessel Price Formation and Second Hand Market Activity in the Dry Bulk Shipping Industry
cash-and-carry arbitrage	Arbitrage and the Financial-Physical Nexus in Commodity Markets
Certainty Equivalent	Model Uncertainty in Electricity Interconnector Markets
certificates	Financialization of Commodity Markets – Evidence from European Certificates Markets
Characteristic Function	A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options
China’s slowdown	The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach
CHP plant	An Extended Multi-Factor Structural Model for the Electricity Market
Clean energy	Energy industry's market value and oil price
Clean spark spread	How to get the maximum value from your power plant's hedging
CLN	Financialization of Commodity Markets – Evidence from European Certificates Markets
Closed-form formula	Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets
Co-integration	Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence
CO2 Emission Allowances	Realized volatility of CO2 futures
cogeneration	An Extended Multi-Factor Structural Model for the Electricity Market
cointegration	Oil and Oil Company Stock Prices: Cointegration with Changing Regimes
Cointegration with breaks	Energy industry's market value and oil price
Collateral	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
Commodities	Commodities, Financialization, and Heterogeneous Agents Financialization of Commodity Markets – Evidence from European Certificates Markets Diversification benefits of commodities: A stochastic dominance efficiency approach Financialization, e-Trading, and Commodity Market Quality An equilibrium model for spot and forward prices of commodities Model Uncertainty in Electricity Interconnector Markets Can Commodities Dominate Stock and Bond Portfolios? The Role of Fundamentals as Price Drivers in the Frozen Concentrated Orange Juice (FCOJ) Market Comovement and the Financialization of Commodities Variance Risk Premia in Commodity Markets
Commoditization	The Global Biodiesel Market Financial Commoditization
Commodity	In search of hedges and safe havens: evidence from rolling regression approach Oil Price Uncertainty Index: Capturing Media Information A Review of the Literature on Commodity Risk Management How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions?
Commodity Financialization	Investing in commodity: why duplicating inventories? Commodity returns co-movements: Fundamentals or “style”?
commodity futures	On the Risk-Return Contribution of Commodities in Diversified Portfolios The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Commodity Futures Markets	Investing in commodity: why duplicating inventories?
commodity futures options	Pricing commodity futures and options by means of jump-diffusion risk-neutral processes estimation
Commodity futures returns	Basis-momentum U.S. equity and commodity futures markets: hedging or financialization?
Commodity futures volatility Financialization	On the Economic Sources of Commodity Market Volatility
Commodity Index	Investing in commodity: why duplicating inventories?
Commodity index trading
Commodity indices	Diversification benefits of commodities: A stochastic dominance efficiency approach
Commodity Market	A Study of Excess Volatility of Gold and Silver
commodity markets	Arbitrage and the Financial-Physical Nexus in Commodity Markets
Commodity Price Modelling	How Firms Should Hedge Non-Tradable Risk?
Commodity prices	Commodity Spot and Futures Prices with a Firm's Optimal Strategy
Commodity Return Volatility	Threshold Effects of the Term Spread in Commodity Returns and Return Volatilities: A Double Threshold FIGARCH Approach
commodity storage	WTI and Brent Futures Pricing Structure
Commodity swap	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
Comovement	Comovement and the Financialization of Commodities
competitive storage model	WTI and Brent Futures Pricing Structure
conditional CAPM	The Economic Impact of Oil on Industry Portfolios
Congestion	Abnormal Returns in Markets for Congestion Revenue Rights
Congestion revenue right	Abnormal Returns in Markets for Congestion Revenue Rights
Consumption	Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility
Contango	The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Convenience yield	Commodity Spot and Futures Prices with a Firm's Optimal Strategy Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil
Correlation
correlations	Empirical pricing performance on long-dated crude oil derivatives: Do models with stochastic interest rates matter?
Counterparty Credit Risk	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
Coupling	Capturing Long‐Term Coupling and Short‐Term Decoupling Crude Oil and Natural Gas Prices
Credit Value Adjustment	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
Cross-market linkages	Commodity returns co-movements: Fundamentals or “style”?
cross-sectional analysis	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
cross-sectional asset pricing	Basis-momentum
Crude Oil	Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework Oil Prices Volatility during Crises Periods Capturing Long‐Term Coupling and Short‐Term Decoupling Crude Oil and Natural Gas Prices Spillover effect of stock market panic on crude oil and natural gas markets
crude oil futures	Financialization, e-Trading, and Commodity Market Quality WTI and Brent Futures Pricing Structure Forecasting oil price realized volatility: A new approach
Crude oïl	From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options
CVar	WTI Crude oil option implied VaR and CVaR: an empirical application
D
Dated Brent	Anticipatory Trading in Brent Futures: Evidence from the unregulated Dated Brent Benchmark
Day-ahead forecasting	On the importance of the long-term seasonal component in day-ahead electricity price forecasting
Day-ahead Prices	Assessing Model Risk in Financial and Power Markets using Dynamic Conditional VaRs
Decoupling	Capturing Long‐Term Coupling and Short‐Term Decoupling Crude Oil and Natural Gas Prices
default	Unexpected Wealth Change and Mortgage Default: Evidence from the Shale Gas Boom
Default supply auctions	Default supply auctions incentive hedging in power derivatives markets
Delta Hedging	Application of Electricity Bid Stack Models for Dynamic Hedging Purposes
diesel	Dynamics and structural breaks between the biofuel, resources and oil prices on the European market
disagreement	Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms
Dispatch optimization	Optimal Control Of Battery Storage For Renewable Electricity Generation
Diversification	Diversification benefits of commodities: A stochastic dominance efficiency approach
Dynamic Conditional Correlations	Modelling the Complex Dynamics of Daily Electricity Price Return Volatility
E
Electricity forward prices	Risk and Decision Making for Electricity Forward Markets with Volatile Resources
electricity load modeling	Modeling Electricity Load with Inhomogeneous Markov-Switching Models
Electricity market	Abnormal Returns in Markets for Congestion Revenue Rights Multivariate Constrained Robust M-Regression for Shaping Forward Curves in Energy Markets
Electricity markets	Default supply auctions incentive hedging in power derivatives markets Carbon Pass-Through Rates in Australian Electricity Futures Markets Structural model for electricity forward prices How to get the maximum value from your power plant's hedging
electricity plant evaluation	An Extended Multi-Factor Structural Model for the Electricity Market
electricity price process	An Extended Multi-Factor Structural Model for the Electricity Market
Electricity prices	Modelling the Complex Dynamics of Daily Electricity Price Return Volatility Risk Asymmetries in Hydrothermal Power Generation Markets
Electricity spot price	On the importance of the long-term seasonal component in day-ahead electricity price forecasting
Emission Allowances	The Influence of Twitter Sentiment in the EU Emissions Trading Scheme
Emissions Allowances	Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
Emissions Markets	Realized volatility of CO2 futures
Emissions permit markets	Carbon Pricing in New Zealand’s Emissions Trading Scheme
Emissions trading	Carbon Pricing in New Zealand’s Emissions Trading Scheme
Emissions Trading Systems	Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
Energy	Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms Oil Prices Volatility during Crises Periods
Energy Derivatives	A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options
energy forward markets	Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Energy Imbalance Market	Energy imbalance market call options and the valuation of storage
energy markets	GOINGS ON ABOUT ENERGY COMMODITIES IN EUROPE
Energy Mix	Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
Energy Policy	Risk and Decision Making for Electricity Forward Markets with Volatile Resources
energy prices	Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms
Energy storage	Energy imbalance market call options and the valuation of storage
environment	Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms
equilibrium	An equilibrium model for spot and forward prices of commodities
Equity returns	U.S. equity and commodity futures markets: hedging or financialization?
Equity variance risk premium	On the Economic Sources of Commodity Market Volatility
ETF	Microstructure of gold Exchange Traded Funds
EU ETS	The Influence of Twitter Sentiment in the EU Emissions Trading Scheme
EU ETS Reform	Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve
EU-ETS	Realized volatility of CO2 futures
European energy markets	The volatility of natural gas prices in the United Kingdom market: drivers and spillover effects
event study	Financialization of Commodity Markets – Evidence from European Certificates Markets
exchange rates	Gold Prices and Uncertainty
Expected shortfall	Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall
expectile	Wind Energy Risk Modelling in Ultra-High Dimensional Space
exponential GARCH	Modelling the Complex Dynamics of Daily Electricity Price Return Volatility
extreme value estimator	A Study of Excess Volatility of Gold and Silver
Extreme value theory	Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall
Extreme values	Risk Asymmetries in Hydrothermal Power Generation Markets
F
factor model	Wind Energy Risk Modelling in Ultra-High Dimensional Space
Fast Fourier Transform	Gas storage valuation under Lévy processes using the Fast Fourier Transform
FCOJ prices	The Role of Fundamentals as Price Drivers in the Frozen Concentrated Orange Juice (FCOJ) Market
FIGARCH	Threshold Effects of the Term Spread in Commodity Returns and Return Volatilities: A Double Threshold FIGARCH Approach
Financial and Electricity Markets	Assessing Model Risk in Financial and Power Markets using Dynamic Conditional VaRs
financial contagion	Oil Risk and Financial Contagion
Financial crisis	Commodity returns co-movements: Fundamentals or “style”?
Financial demand
Financial Markets	Commodities, Financialization, and Heterogeneous Agents The volatility of natural gas prices in the United Kingdom market: drivers and spillover effects
financial return	Modelling the Complex Dynamics of Daily Electricity Price Return Volatility
Financial risk and risk management	Hedging Gone Wild: Was Delta Airlines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
Financial transmission right	Abnormal Returns in Markets for Congestion Revenue Rights
Financialization	Financialization of Commodity Markets – Evidence from European Certificates Markets Financialization, e-Trading, and Commodity Market Quality Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility Arbitrage and the Financial-Physical Nexus in Commodity Markets Comovement and the Financialization of Commodities U.S. equity and commodity futures markets: hedging or financialization?
Forecasting oil prices	Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil
Forward Bias	Risk and Decision Making for Electricity Forward Markets with Volatile Resources
forward premium	An equilibrium model for spot and forward prices of commodities
Forward Prices	Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets
Fourier inversion	A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options
Fourier inversion methods	From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options
fracking	Unexpected Wealth Change and Mortgage Default: Evidence from the Shale Gas Boom
fuel switch	An Extended Multi-Factor Structural Model for the Electricity Market
functional data analysis	Wind Energy Risk Modelling in Ultra-High Dimensional Space
fundamentals	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis The Role of Fundamentals as Price Drivers in the Frozen Concentrated Orange Juice (FCOJ) Market
Funds	How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions?
Futures
Futures curve modelling	From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options
Futures Markets	Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence
futures options pricing	Empirical pricing performance on long-dated crude oil derivatives: Do models with stochastic interest rates matter?
futures Premium	Anatomy of risk premium in UK natural gas futures
Futures price	Commodity Spot and Futures Prices with a Firm's Optimal Strategy
G
G7 equities	The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach
Gap Risk	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
GARCH models	Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models
gas storage models	Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
Gas storage valuation	Gas storage valuation under Lévy processes using the Fast Fourier Transform
General Equilibrium	Commodities, Financialization, and Heterogeneous Agents
GJR-DCC-GARCH	Oil Risk and Financial Contagion
Global financial crisis	Oil Risk and Financial Contagion
Global market	The Global Biodiesel Market Financial Commoditization
Global Minimum Variance Portfolio	Investing in commodity: why duplicating inventories?
gold	Gold Prices and Uncertainty
Gram-Charlier expansion	Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall
Granger Causality	Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence
Greeks	Application of Electricity Bid Stack Models for Dynamic Hedging Purposes
H
Hamilton-Jacobi-Bellman equation	Optimal intra-day power trading with a Gaussian additive process
HAR	Forecasting oil price realized volatility: A new approach
HAR-RV	Realized volatility of CO2 futures
hedge	In search of hedges and safe havens: evidence from rolling regression approach Gold Prices and Uncertainty
hedge funds	Financialization, e-Trading, and Commodity Market Quality Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility
Hedgers	Price Discovery and Trading Activity in Commodity Futures Markets
Hedging	Application of Electricity Bid Stack Models for Dynamic Hedging Purposes How to get the maximum value from your power plant's hedging Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets Abnormal Returns in Markets for Congestion Revenue Rights U.S. equity and commodity futures markets: hedging or financialization?
Heterogeneous Agents	Vessel Price Formation and Second Hand Market Activity in the Dry Bulk Shipping Industry
Heterogeneous Preferences	Commodities, Financialization, and Heterogeneous Agents
heteroskedasticity	Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility
high frequency data	Intraday Pairs Trading Strategies on High Frequency Data: The Case of Oil Companies
high frequency trading	A Theory of High Frequency Market Making in Fragmented Markets
hybrid model	An Extended Multi-Factor Structural Model for the Electricity Market
I
ICAPM	Oil Risk and Financial Contagion
ICE Brent Crude futures	Anticipatory Trading in Brent Futures: Evidence from the unregulated Dated Brent Benchmark
Implied Volatility	Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility
index construction	Are Diamonds a safe haven. A financial basket index for diamonds.
index investors	Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility Arbitrage and the Financial-Physical Nexus in Commodity Markets
Index Traders	Price Discovery and Trading Activity in Commodity Futures Markets
Indexing	Comovement and the Financialization of Commodities
Indifference Pricing	Model Uncertainty in Electricity Interconnector Markets
Industrial organization-Market structure	Hedging Gone Wild: Was Delta Airlines’ Purchase Of Trainer Refinery A Sound Risk Management Strategy?
industry stock returns	The Economic Impact of Oil on Industry Portfolios
information assimilation	Is information assimilated at announcements in the European Carbon Market?
Institutional traders	Financialization, e-Trading, and Commodity Market Quality
Integration of Markets	Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence
Intra-Day electricity market	Optimal intra-day power trading with a Gaussian additive process
Intraday Data	Realized volatility of CO2 futures
Intraday Jump	Intraday relationship between jumps and trading volume on energy futures markets: A wavelet approach
inventories	Speculative Floating Oil
Inventory	Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility
Iran	Sanctions against Iran: An assessment of their global impact through the lens of international Methanol prices
J
Jump activity	Jump Activity Analysis for Affine Jump-diffusion Models: Evidences from the Commodity Market
jump-diffusion stochastic processes	Pricing commodity futures and options by means of jump-diffusion risk-neutral processes estimation
K
Kalman Filtering	How Firms Should Hedge Non-Tradable Risk?
Kirk	Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets
Knightian uncertainty	Model Uncertainty in Electricity Interconnector Markets
L
law of one price	WTI and Brent Futures Pricing Structure Sanctions against Iran: An assessment of their global impact through the lens of international Methanol prices
Limit order book	Order placement strategy and price formation under risk averse investors’ preference: the perspective of European carbon markets
limits to arbitrage	Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility
Liquidity	Microstructure of gold Exchange Traded Funds Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility A Theory of High Frequency Market Making in Fragmented Markets How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions?
log-GARCH	Modelling the Complex Dynamics of Daily Electricity Price Return Volatility
Long-dated crude oil derivatives	Empirical pricing performance on long-dated crude oil derivatives: Do models with stochastic interest rates matter?
Long-term seasonal component	On the importance of the long-term seasonal component in day-ahead electricity price forecasting
Lottery-like payoffs	The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Lévy processes	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
M
M-estimator	Multivariate Constrained Robust M-Regression for Shaping Forward Curves in Energy Markets
Macroeconomic uncertainty	On the Economic Sources of Commodity Market Volatility
Mark-to-Market	Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets
market efficiency	A Study of Excess Volatility of Gold and Silver
Market integration	Sanctions against Iran: An assessment of their global impact through the lens of international Methanol prices
market making	A Theory of High Frequency Market Making in Fragmented Markets
market microstructure	Order placement strategy and price formation under risk averse investors’ preference: the perspective of European carbon markets Is information assimilated at announcements in the European Carbon Market?
Market Stability Reserve	Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve
market structure	Identifying Demand Shocks in Commodity Futures Markets through Changes in Volatility
Markov switching	Oil and Oil Company Stock Prices: Cointegration with Changing Regimes
Markov-switching model	Modeling Electricity Load with Inhomogeneous Markov-Switching Models
maturity-specific hedging pressure	Basis-momentum
maximum likelihood	Optimal intra-day power trading with a Gaussian additive process
MCS	Forecasting oil price realized volatility: A new approach
Mean-Reverting Variance Gamma processes	Gas storage valuation under Lévy processes using the Fast Fourier Transform
measures of speculation and hedging	Default supply auctions incentive hedging in power derivatives markets
merit order	An Extended Multi-Factor Structural Model for the Electricity Market
Metal Return Volatility	Threshold Effects of the Term Spread in Commodity Returns and Return Volatilities: A Double Threshold FIGARCH Approach
metals	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
Methanol	Sanctions against Iran: An assessment of their global impact through the lens of international Methanol prices
model risk	Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
Model specification	Jump Activity Analysis for Affine Jump-diffusion Models: Evidences from the Commodity Market
momentum	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
Monte-Carlo simulations	Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets
mortgage	Unexpected Wealth Change and Mortgage Default: Evidence from the Shale Gas Boom
Multi-factor stochastic volatility	From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options
multiple structural changes	Oil and Oil Company Stock Prices: Cointegration with Changing Regimes
multivariate	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
Multivariate GARCH	The volatility of natural gas prices in the United Kingdom market: drivers and spillover effects Modelling the Complex Dynamics of Daily Electricity Price Return Volatility
Multivariate GARCH-in-mean	Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework
multivariate regression	Wind Energy Risk Modelling in Ultra-High Dimensional Space
N
Natural experiment	Financialization, e-Trading, and Commodity Market Quality
natural gas	Unexpected Wealth Change and Mortgage Default: Evidence from the Shale Gas Boom Capturing Long‐Term Coupling and Short‐Term Decoupling Crude Oil and Natural Gas Prices Spillover effect of stock market panic on crude oil and natural gas markets
natural gas market	Anatomy of risk premium in UK natural gas futures
Natural Resources	Degree of Integration between Brent Oil Spot and Futures Markets: Intraday Evidence
Netting	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
Networks
New Zealand	Carbon Pricing in New Zealand’s Emissions Trading Scheme
News	Can Stale Oil Price News Predict Stock Returns?
noise traders	Arbitrage and the Financial-Physical Nexus in Commodity Markets
non-parametric	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
nonparametric estimation	Pricing commodity futures and options by means of jump-diffusion risk-neutral processes estimation
numerical differentiation	Pricing commodity futures and options by means of jump-diffusion risk-neutral processes estimation
NZ ETS	Carbon Pricing in New Zealand’s Emissions Trading Scheme
O
oil	Oil and Oil Company Stock Prices: Cointegration with Changing Regimes Speculative Floating Oil Dynamics and structural breaks between the biofuel, resources and oil prices on the European market
oil company stock price	Oil and Oil Company Stock Prices: Cointegration with Changing Regimes
Oil futures curve	Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility
oil futures markets	Arbitrage and the Financial-Physical Nexus in Commodity Markets
oil futures price	Oil and Oil Company Stock Prices: Cointegration with Changing Regimes
Oil industry	Energy industry's market value and oil price
Oil price	The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach Can Stale Oil Price News Predict Stock Returns? Oil Price Uncertainty Index: Capturing Media Information The Economic Impact of Oil on Industry Portfolios
Oil Price Volatility	Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework
oil prices	Have oil prices really exhibited bubble behavior? pre-crises and recent evidence using OVX adjusted prices suggest not Energy industry's market value and oil price
Oil risk	Oil Risk and Financial Contagion
oil storage	Arbitrage and the Financial-Physical Nexus in Commodity Markets
Optimal Control	Model Uncertainty in Electricity Interconnector Markets
Optimal stochastic control	Optimal Control Of Battery Storage For Renewable Electricity Generation
Optimal Trading	Model Uncertainty in Electricity Interconnector Markets
option market volatility	Have oil prices really exhibited bubble behavior? pre-crises and recent evidence using OVX adjusted prices suggest not
Option pricing	From the Samuelson Volatility Effect to a Samuelson Correlation Effect: An Analysis of Crude Oil Calendar Spread Options
Options	WTI Crude oil option implied VaR and CVaR: an empirical application
orange juice	The Role of Fundamentals as Price Drivers in the Frozen Concentrated Orange Juice (FCOJ) Market
Outlier	Multivariate Constrained Robust M-Regression for Shaping Forward Curves in Energy Markets
P
pair trading	Intraday Pairs Trading Strategies on High Frequency Data: The Case of Oil Companies
Pairs trading	Microstructure of gold Exchange Traded Funds
parameter risk	Model Risk in Gas Storage Valuation: Joint Calibration-Estimation Risk Measurement
Pass-Through	Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
pca	GOINGS ON ABOUT ENERGY COMMODITIES IN EUROPE
penalisation	Wind Energy Risk Modelling in Ultra-High Dimensional Space
Performance	Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms How Should Commodity Funds Decisions and Performance React to Size-Driven Liquidity Frictions?
Performance evaluation	Predictability and Diversification Benefits of Investing in Commodity and Currency Futures
physical oil benchmark	Anticipatory Trading in Brent Futures: Evidence from the unregulated Dated Brent Benchmark
plant outage	An Extended Multi-Factor Structural Model for the Electricity Market
Policy Design	Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve
Portfolio choice	Diversification benefits of commodities: A stochastic dominance efficiency approach
portfolio diversication	On the Risk-Return Contribution of Commodities in Diversified Portfolios
portfolio diversification	Are Diamonds a safe haven. A financial basket index for diamonds.
Portfolio strategies	Predictability and Diversification Benefits of Investing in Commodity and Currency Futures
power derivatives	Default supply auctions incentive hedging in power derivatives markets
power options	An Extended Multi-Factor Structural Model for the Electricity Market
precious metals	Microstructure of gold Exchange Traded Funds A Study of Excess Volatility of Gold and Silver
Predictability	Predictability and Diversification Benefits of Investing in Commodity and Currency Futures Can Stale Oil Price News Predict Stock Returns? The Economic Value of TIPS Arbitrage Mispricing
price	Dynamics and structural breaks between the biofuel, resources and oil prices on the European market
Price Discovery	Price Discovery and Trading Activity in Commodity Futures Markets A Theory of High Frequency Market Making in Fragmented Markets
price fixing	Anticipatory Trading in Brent Futures: Evidence from the unregulated Dated Brent Benchmark
Price formation	Order placement strategy and price formation under risk averse investors’ preference: the perspective of European carbon markets
price forward curves	Structural model for electricity forward prices
Price Shocks	Causes and Consequences of Oil Price Shocks on the UK Economy
price spikes	An Extended Multi-Factor Structural Model for the Electricity Market
price volatility
prices	GOINGS ON ABOUT ENERGY COMMODITIES IN EUROPE
principal component analysis	The Economic Value of TIPS Arbitrage Mispricing
probabilistic forecasting	Modeling Electricity Load with Inhomogeneous Markov-Switching Models
Production	Commodity Spot and Futures Prices with a Firm's Optimal Strategy
providers of last resort	Default supply auctions incentive hedging in power derivatives markets
public information announcements	Is information assimilated at announcements in the European Carbon Market?
R
random walk	A Study of Excess Volatility of Gold and Silver
Rate of Convergence	Price Discovery and Trading Activity in Commodity Futures Markets
Real Options	Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework Energy imbalance market call options and the valuation of storage
Realized Beta	Comovement and the Financialization of Commodities
Realized Volatility	Forecasting oil price realized volatility: A new approach Realized volatility of CO2 futures Intraday relationship between jumps and trading volume on energy futures markets: A wavelet approach
reduced rank regression	The Economic Value of TIPS Arbitrage Mispricing
regime shifts
Regime-switching	Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models
renewable energy	Optimal Control Of Battery Storage For Renewable Electricity Generation Wind Energy Risk Modelling in Ultra-High Dimensional Space Risk and Decision Making for Electricity Forward Markets with Volatile Resources
Renewable Energy Sources	Renewables, Allowances Markets, and Energy Mix in Energy-Only Markets
renewables	Energy industry's market value and oil price
reserve capacity	An Extended Multi-Factor Structural Model for the Electricity Market
reserve margin	An Extended Multi-Factor Structural Model for the Electricity Market
Resilience	Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve
Responsiveness	Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve
Risk	Wind Energy Risk Modelling in Ultra-High Dimensional Space A Review of the Literature on Commodity Risk Management
Risk Management	A Review of the Literature on Commodity Risk Management
Risk Measures	Assessing Model Risk in Financial and Power Markets using Dynamic Conditional VaRs
risk premia	Structural model for electricity forward prices
risk premium	Pricing commodity futures and options by means of jump-diffusion risk-neutral processes estimation
Risk premiums	Risk and Decision Making for Electricity Forward Markets with Volatile Resources
Risk Shifting
Risk-Aversion	Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve
risk-neutral measure	Pricing commodity futures and options by means of jump-diffusion risk-neutral processes estimation
Robust modeling	On the importance of the long-term seasonal component in day-ahead electricity price forecasting
Robust Pricing	Model Uncertainty in Electricity Interconnector Markets
rolling regression	In search of hedges and safe havens: evidence from rolling regression approach
rollover	Anatomy of risk premium in UK natural gas futures
RSDC model	Commodity returns co-movements: Fundamentals or “style”?
S
safe haven	In search of hedges and safe havens: evidence from rolling regression approach
safe heaven	Are Diamonds a safe haven. A financial basket index for diamonds.
Sanctions	Sanctions against Iran: An assessment of their global impact through the lens of international Methanol prices
save haven	Gold Prices and Uncertainty
scarcity function	An Extended Multi-Factor Structural Model for the Electricity Market
scenario analysis	An Extended Multi-Factor Structural Model for the Electricity Market
seasonal risk premiums	Anatomy of risk premium in UK natural gas futures
Sentiment Analysis	The Influence of Twitter Sentiment in the EU Emissions Trading Scheme
Shaping Coefficients	Multivariate Constrained Robust M-Regression for Shaping Forward Curves in Energy Markets
Shipping Market	Determinants of shipping market fluctuations: A Bayesian Markov switching three state approach
Shocks	Oil Prices Volatility during Crises Periods
simulation	A Study of Excess Volatility of Gold and Silver
skew-Student asymmetric BEKK	Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Skewed-t	Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall
Skewness	The Pricing of Skewness in Commodity Futures Markets: Risk or Lottery?
Spanning tests	Predictability and Diversification Benefits of Investing in Commodity and Currency Futures
spatio-temporal models	Structural model for electricity forward prices
Speculation	Speculative Floating Oil Arbitrage and the Financial-Physical Nexus in Commodity Markets Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil
Speculators	Price Discovery and Trading Activity in Commodity Futures Markets
Spillovers	Determinants of shipping market fluctuations: A Bayesian Markov switching three state approach
spot and forward prices	An equilibrium model for spot and forward prices of commodities
Spot and Futures Prices	Carbon Pass-Through Rates in Australian Electricity Futures Markets Oil Prices Volatility during Crises Periods
spot oil markets	Arbitrage and the Financial-Physical Nexus in Commodity Markets
Spread options	How to get the maximum value from your power plant's hedging Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets A General Closed Form Approximation Pricing Formula for Basket and Multi-Asset Spread Options
Stable price-inventory relationship	Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil
State space modeling	Capturing Long‐Term Coupling and Short‐Term Decoupling Crude Oil and Natural Gas Prices
Stochastic backwards dynamic programming	Gas storage valuation under Lévy processes using the Fast Fourier Transform
Stochastic control	Commodity Spot and Futures Prices with a Firm's Optimal Strategy
Stochastic Dominance	Can Commodities Dominate Stock and Bond Portfolios?
Stochastic dominance efficiency	Diversification benefits of commodities: A stochastic dominance efficiency approach
stochastic interest rates	Empirical pricing performance on long-dated crude oil derivatives: Do models with stochastic interest rates matter?
stochastic process	An Extended Multi-Factor Structural Model for the Electricity Market
stochastic volatility	Structural model for electricity forward prices
stock and commodity market correlation	An equilibrium model for spot and forward prices of commodities
stock market	In search of hedges and safe havens: evidence from rolling regression approach
stock market panic	Spillover effect of stock market panic on crude oil and natural gas markets
Stock returns	Can Stale Oil Price News Predict Stock Returns?
storage	Commodity Spot and Futures Prices with a Firm's Optimal Strategy The Role of Fundamentals as Price Drivers in the Frozen Concentrated Orange Juice (FCOJ) Market
Storage valuation	Optimal Control Of Battery Storage For Renewable Electricity Generation
strategic asset allocation	On the Risk-Return Contribution of Commodities in Diversified Portfolios
Structural breaks	Capturing Long‐Term Coupling and Short‐Term Decoupling Crude Oil and Natural Gas Prices
Structural change	Risk Asymmetries in Hydrothermal Power Generation Markets
structural changes	Dynamics and structural breaks between the biofuel, resources and oil prices on the European market
structural model	Application of Electricity Bid Stack Models for Dynamic Hedging Purposes An Extended Multi-Factor Structural Model for the Electricity Market The Role of Fundamentals as Price Drivers in the Frozen Concentrated Orange Juice (FCOJ) Market
Style effect	Commodity returns co-movements: Fundamentals or “style”?
Supply Management Mechanism	Dynamic Supply Adjustment and Banking Under Uncertainty: The Market Stability Reserve
supply stack	An Extended Multi-Factor Structural Model for the Electricity Market
T
Tail risks	Risk Asymmetries in Hydrothermal Power Generation Markets
Tanker freight rates	Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models
tastes	Disagreement and Environmental Tastes as Substitutes for Financial Performance in Energy Firms
Thermal asset	Pricing and Hedging Three-Market Spread Options for the Management of Thermal Assets
Threshold Model	Threshold Effects of the Term Spread in Commodity Returns and Return Volatilities: A Double Threshold FIGARCH Approach
time-varying risk premia	The Economic Impact of Oil on Industry Portfolios
time-varying volatility spillovers	Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Trading	Multivariate Constrained Robust M-Regression for Shaping Forward Curves in Energy Markets
Trading Activity	Vessel Price Formation and Second Hand Market Activity in the Dry Bulk Shipping Industry
Trading Volume	Intraday relationship between jumps and trading volume on energy futures markets: A wavelet approach
transaction costs	Intraday Pairs Trading Strategies on High Frequency Data: The Case of Oil Companies
Transmission	Abnormal Returns in Markets for Congestion Revenue Rights
U
U.S. Business Cycle	Oil price uncertainty and the business cycle: Accounting for the influences of global supply and demand within a VAR GARCH-in-mean framework
UK Economy	Causes and Consequences of Oil Price Shocks on the UK Economy
uncertainty	Gold Prices and Uncertainty
uncertainty forecasting	Oil Price Uncertainty Index: Capturing Media Information
unevenly spaced observations	Optimal intra-day power trading with a Gaussian additive process
unexpected wealth shock	Unexpected Wealth Change and Mortgage Default: Evidence from the Shale Gas Boom
utility maximization	Optimal intra-day power trading with a Gaussian additive process
V
value	Metals: Resources or Financial Assets? A Multivariate Cross-Sectional Analysis
Value-at-Risk	Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models Risk quantification for Commodity ETFs: Backtesting Value-at-Risk and Expected Shortfall
VAR	Oil and Oil Company Stock Prices: Cointegration with Changing Regimes WTI Crude oil option implied VaR and CVaR: an empirical application Assessing Model Risk in Financial and Power Markets using Dynamic Conditional VaRs
Variance risk premia	Variance Risk Premia in Commodity Markets
Variance swaps	Variance Risk Premia in Commodity Markets
VECM with breaks	Energy industry's market value and oil price
Vector autoregression	Determinants of the Shape of the Oil Futures Curve: Inventory, Consumption and Volatility
Vector Autoregressions	Causes and Consequences of Oil Price Shocks on the UK Economy
Vessel Valuation	Vessel Price Formation and Second Hand Market Activity in the Dry Bulk Shipping Industry
Virtual Power Plant	Application of Electricity Bid Stack Models for Dynamic Hedging Purposes
VIX VSTOXX	Spillover effect of stock market panic on crude oil and natural gas markets
Volatility	Modelling the Complex Dynamics of Daily Electricity Price Return Volatility A Study of Excess Volatility of Gold and Silver Oil Prices Volatility during Crises Periods
Volatility forecasting	Forecasting oil price realized volatility: A new approach Realized volatility of CO2 futures
volatility impulse-response function	Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Volatility indices	Jump Activity Analysis for Affine Jump-diffusion Models: Evidences from the Commodity Market
Volatility Persistence	Threshold Effects of the Term Spread in Commodity Returns and Return Volatilities: A Double Threshold FIGARCH Approach
Volatility regimes	Risk Asymmetries in Hydrothermal Power Generation Markets
volatility risk	Basis-momentum
volatility smile	An Extended Multi-Factor Structural Model for the Electricity Market
volatility spillover
Volatility spillovers	The volatility of natural gas prices in the United Kingdom market: drivers and spillover effects
W
Wavelet	Intraday relationship between jumps and trading volume on energy futures markets: A wavelet approach
wind	Wind Energy Risk Modelling in Ultra-High Dimensional Space
Wrong and Right way risk	Integrated structural approach to Counterparty Credit Risk of Commodity Swaps
WTI	WTI and Brent Futures Pricing Structure
Z
zero beta asset	Are Diamonds a safe haven. A financial basket index for diamonds.

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