Quantitative and empirical analysis of energy markets / Apostolos Serletis.

Format:

Book

Author/Creator:

Serletis, Apostolos

Series:

World Scientific series on energy and resource economics ; v. 1.

World scientific series on energy and resource economics ; v. 1

Language:

English

Subjects (All):

Energy industries--Econometric models.

Energy industries.

Physical Description:

xii, 291 pages : illustrations ; 24 cm.

Place of Publication:

Hackensack, N.J. : World Scientific Pub. Co., [2007]

Summary:

Bringing together leading-edge research and innovative energy markets econometrics, this book collects the author's most important recent contributions in energy economics. In particular, the book: applies recent advances in the field of applied econometrics to investigate a number of issues regarding energy markets, including the theory of storage and the efficient markets hypothesis, presents the basic stylized facts on energy price movements using correlation analysis, causality tests, integration theory, cointegration theory, as well as recently developed procedures for testing for shared and codependent cycles, uses recent advances in the financial econometrics literature to model time-varying returns and volatility in energy prices and to test for causal relationships between energy prices and their volatilities, explores the functioning of electricity markets and applies conventional models of time series analysis to investigate a number of issues regarding wholesale power prices in the western North American markets, applies tools from statistics and dynamical systems theory to test for nonlinear dynamics and deterministic chaos in a number of North American hydrocarbon markets (those of ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas). Book jacket.

Contents:

Part 1 Crude Oil Markets 1

1 Unit Root Behavior in Energy Futures Prices 7

1.2 Data 8

1.3 Empirical Evidence 8

1.3.1 Autocorrelation Based Tests 8

1.3.2 Univariate Tests for Unit Roots 11

2 Rational Expectations, Risk, and Efficiency in Energy Futures Markets 15

2.2 Theoretical Foundations 16

2.3 Data 18

2.4 Regression and Cointegration Tests 20

3 Maturity Effects in Energy Futures 23

3.2 Data and the Measurement of Futures Price Variability 24

3.3 Empirical Results 25

4 Business Cycles and the Behavior of Energy Prices 38

4.2 Theoretical Foundations 39

4.3 Data 41

4.4 Test Results 41

5 A Cointegration Analysis of Petroleum Futures Prices 46

5.2 The Data and Stochastic Trends 47

5.3 Econometric Methodology and Empirical Results 50

Part 2 Natural Gas Markets 55

6 Is There an East-West Split in North American Natural Gas Markets? 59

6.2 The North American Natural Gas Spot Markets 60

6.3 The Data and Stochastic Trends 61

6.4 Test Methods (and Capabilities) and Results 66

7 Business Cycles and Natural Gas Prices 73

7.2 The Stylized Facts 74

7.3 Granger Causality Tests 77

8 Futures Trading and the Storage of North American Natural Gas 82

8.2 Testing the Theory of Storage 83

8.3 The Data 84

8.4 Empirical Results 84

8.5 Robustness 86

Part 3 Electricity Markets 89

9 Power Trade on the Alberta-BC Interconnection 93

9.2 Wholesale Trade of Electricity: Economic and Physical Implications 94

9.3 The Alberta-British Columbia Interconnection 96

9.4 Empirical Analysis 97

9.5 An RTO Scenario in the Western Region 99

10 Imports, Exports, and Prices in Alberta's Deregulated Power Market 103

10.2 The Role of Imports and Exports 104

10.3 Data 106

10.4 Granger Causality Tests 108

10.5 Empirical Evidence 118

11 Cointegration Analysis of Power Prices in the Western North American Markets 121

11.2 Literature Review 122

11.3 The Data 124

11.4 Testing for Stochastic Trends 129

11.5 Testing for Cointegration 131

11.6 Error Correction Modeling and Causality Testing 137

11.6.1 Bivariate Granger Causality Tests 137

11.6.2 Trivariate Granger Causality Tests 140

Part 4 Crude Oil, Natural Gas, and Electricity Markets 145

12 The Cyclical Behavior of Monthly NYMEX Energy Prices 149

12.2 Methodology 150

12.3 Data and Results 151

13 The Message in North American Energy Prices 156

13.2 Some Basic Facts 157

13.3 The Integration Properties of the Variables 159

13.4 Shared Price Trends 163

13.5 Error Correction Estimates and Causality Tests 166

14 Testing for Common Features in North American Energy Markets 172

14.2 Common Trends and Common Cycles 174

14.2.1 Common Trends 174

14.2.2 Common Cycles 175

14.2.3 Codependent Cycles 176

14.3 The Evidence 177

14.4 Common Features in Natural Gas Markets 183

Part 5 Volatility Modelling in Energy Markets 189

15 Returns and Volatility in the NYMEX Henry Hub Natural Gas Futures Market 193

15.2 The Data 194

15.3 Modeling Returns 196

15.4 Modeling Volatility 199

16 Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets 205

16.2 The Data 206

16.3 The Model 207

16.4 Empirical Results 212

Part 6 Chaos, Fractals, and Random Modulations in Energy Markets 221

17 The North American Natural Gas Liquids Markets are Chaotic 225

17.3 Basic Facts and Integration Tests 228

17.4 Tests for Chaos 232

17.5 Empirical Results 234

18 Random Fractal Structures in North American Energy Markets 245

18.2 Data and Statistical Analysis 246

18.2.1 The Above and Below Test for Randomness 246

18.2.2 The Hurst Test 248

18.3 A Fractal Noise Model 249

18.3.1 The Power Spectrum 250

18.3.2 The Structure Function Test 250

18.4 A Multifractal Data Analysis 253

18.5 On Turbulent Behavior 254

19 Randomly Modulated Periodic Signals in Alberta's Electricity Market 256

19.2 Randomly Modulated Periodicity 257

19.3 Signal Coherence Spectrum 259

19.4 Alberta's Power Market 260

19.5 RMP in Alberta's Power Market 262.

Notes:

Includes bibliographical references (pages 269-282) and indexes.

ISBN:

9789812704740

9812704744

OCLC:

85018091