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Journal of Energy Markets最新文献

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Throwing green into the mix: how the EU Emissions Trading System impacted the energy mix of French manufacturing firms (2000–16) 欧盟排放交易体系如何影响法国制造企业的能源结构(2000 - 2016)
IF 0.4 Q4 ECONOMICS Pub Date : 2023-01-01 DOI: 10.21314/jem.2023.022
Rayan Chebbi-Giovanetti
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引用次数: 0
A two-stage nonlinear approach for modeling hourly spot power prices with an application to spot market risk valuation of the power yield of a solar array in Germany 一种两阶段非线性的小时现货电价建模方法,并应用于德国太阳能电池阵列发电量的现货市场风险评估
IF 0.4 Q4 ECONOMICS Pub Date : 2023-01-01 DOI: 10.21314/jem.2023.023
Peter Kosater
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引用次数: 0
Evaluating the performance of energy exchange-traded funds 评估能源交易所交易基金的表现
IF 0.4 Q4 ECONOMICS Pub Date : 2023-01-01 DOI: 10.21314/jem.2023.021
D. Malhotra, Michael Marino
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引用次数: 0
Dynamic spillover between the crude oil, natural gas and BRICS stock markets 原油、天然气和金砖国家股市的动态溢出效应
IF 0.4 Q4 ECONOMICS Pub Date : 2022-01-01 DOI: 10.21314/jem.2022.013
Tarek Sadraoui, Rym Regaïeg, Wajdi Moussa, Nidhal Mgadmi, C. Arfa
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引用次数: 1
Energy trading efficiency in ERCOT’s day-ahead and real-time electricity markets ERCOT日前和实时电力市场的能源交易效率
IF 0.4 Q4 ECONOMICS Pub Date : 2022-01-01 DOI: 10.21314/jem.2022.017
K. Cao, Han Qi, C. Tsai, C. Woo, J. Zarnikau
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引用次数: 3
Do sovereign wealth funds dampen the effect of oil market volatility on gross domestic product growth? 主权财富基金是否抑制了石油市场波动对国内生产总值(gdp)增长的影响?
IF 0.4 Q4 ECONOMICS Pub Date : 2022-01-01 DOI: 10.21314/jem.2022.014
Salem Boubakri, Ahlem Harrouch-Trabelsi
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引用次数: 0
Oil value-at-risk forecasts: a filtered semiparametric approach 石油风险价值预测:过滤半参数方法
IF 0.4 Q4 ECONOMICS Pub Date : 2022-01-01 DOI: 10.21314/jem.2022.011
W. Kuang
The Covid-19 pandemic has set the stage for greater volatility in oil prices. Given this unprecedentedly volatile environment, protection against market risk has never been more important. Value-at-risk (VaR) is a popular metric to measure and control risk. However, the widely used historical simulation approach is unresponsive to upticks in stress. Therefore, the need has arisen for an alternative method that is easy to implement while still achieving forecast accuracy. We propose the generalized autoregressive conditional heteroscedasticity (GARCH) model combined with the Cornish–Fisher expansion (a semiparametric approach to address skewness and excess kurtosis as well as volatility dynamics) for the oil VaR forecast. We com-pare the performance of the proposed approach with that of historical simulation and GARCH-type models with alternative residual distributions: historical simulation, normal, skewed Student t and generalized Pareto. The study is based on the daily spot data from the Energy Information Administration for the period from December 19, 2012 to October 30, 2020 for Brent and from November 13, 2012 to October 30, 2020 for West Texas Intermediate, each with a total of 2001 observations. We find that the historical simulation approach significantly underestimates the risks for both long and short positions during the recent market turmoil, which confirms the importance of the filtering process in VaR forecasts. Moreover, the proposed approach provides the most accurate VaR forecasts, especially at high confidence levels for the long position. The analysis serves as a useful guide to energy market risk quantification for practitioners and policy makers. © Infopro Digital Limited 2022. All rights reserved.
2019冠状病毒病大流行为油价的更大波动奠定了基础。在这种空前动荡的环境下,防范市场风险从未像现在这样重要。风险价值(VaR)是衡量和控制风险的常用指标。然而,广泛使用的历史模拟方法对压力的上升没有反应。因此,需要一种易于实现,同时仍能达到预测准确性的替代方法。我们提出了广义自回归条件异方差(GARCH)模型,结合Cornish-Fisher展开(一种半参数方法,用于解决偏度和过量峰度以及波动动力学)用于石油VaR预测。我们将所提出的方法与历史模拟和garch型模型的性能进行了比较,这些模型具有不同的残差分布:历史模拟、正态分布、偏态Student t和广义Pareto。该研究基于美国能源情报署(Energy Information Administration) 2012年12月19日至2020年10月30日期间布伦特原油和2012年11月13日至2020年10月30日期间西德克萨斯中质原油的每日现货数据,各有2001次观测数据。我们发现,在最近的市场动荡中,历史模拟方法显著低估了多头和空头头寸的风险,这证实了过滤过程在VaR预测中的重要性。此外,所提出的方法提供了最准确的VaR预测,特别是在高置信度的多头头寸。该分析为能源市场从业者和政策制定者量化能源市场风险提供了有益的指导。©Infopro Digital Limited 2022。版权所有。
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引用次数: 3
Empirical research on the relationship between renewable energy consumption, foreign direct investment and economic growth in South Asia 南亚地区可再生能源消费、外国直接投资与经济增长关系的实证研究
IF 0.4 Q4 ECONOMICS Pub Date : 2022-01-01 DOI: 10.21314/jem.2022.012
Emon Kalyan Chowdhury, Rupam Chowdhury
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引用次数: 2
Measuring the effect of corrective short-term updates for wind energy forecasts on intraday electricity prices 测量风能预测短期修正更新对当日电价的影响
IF 0.4 Q4 ECONOMICS Pub Date : 2022-01-01 DOI: 10.21314/jem.2022.016
David Schönheit, Lasse Homann, D. Möst, Sjur Westgaard
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引用次数: 0
Scaling up hydrogen production in France: learning rates versus economies of scale strategies 法国扩大氢气生产:学习率与规模经济战略
IF 0.4 Q4 ECONOMICS Pub Date : 2022-01-01 DOI: 10.21314/jem.2023.019
R. Loisel, L. Lemiale
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引用次数: 0
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Journal of Energy Markets
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