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:

1 online resource (304 p.)

Edition:

1st ed.

Place of Publication:

Hackensack, N.J. : World Scientific, c2007.

Language Note:

English

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 sh

Contents:

Contents; Foreword; Part 1: Crude Oil Markets; 1 Unit Root Behavior in Energy Futures Prices; 2 Rational Expectations, Risk, and E.ciency in Energy Futures Markets; 3 Maturity Effects in Energy Futures; 4 Business Cycles and the Behavior of Energy Prices; 5 A Cointegration Analysis of Petroleum Futures Prices; Part 2: Natural Gas Markets; 6 Is There an East-West Split in North American Natural Gas Markets?; 7 Business Cycles and Natural Gas Prices; 8 Futures Trading and the Storage of North American Natural Gas; Part 3: Electricity Markets; 9 Power Trade on the Alberta-BC Interconnection

10 Imports, Exports, and Prices in Alberta's Deregulated Power Market11 Cointegration Analysis of Power Prices in the Western North American Markets; Part 4: Crude Oil, Natural Gas, and Electricity Markets; 12 The Cyclical Behavior of Monthly NYMEX Energy Prices; 13 The Message in North American Energy Prices; 14 Testing for Common Features in North American Energy Markets; Part 5: Volatility Modelling in Energy Markets; 15 Returns and Volatility in the NYMEX Henry Hub Natural Gas Futures Market

16 Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated MarketsPart 6: Chaos, Fractals, and Random Modulations in Energy Markets; 17 The North American Natural Gas Liquids Markets are Chaotic; 18 Random Fractal Structures in North American Energy Markets; 19 Randomly Modulated Periodic Signals in Alberta's Electricity Market; Bibliography; Author Index; Topic Index

Notes:

Description based upon print version of record.

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

ISBN:

9786611121402

9781281121400

1281121401

9789812770462

9812770461

OCLC:

476099779