Quantitative and Empirical Analysis of Energy Markets (World Scientific Series on Energy and Resource Economics)

Contents......Page 6
Foreword......Page 12
Part 1: Crude Oil Markets......Page 14
1.1 Introduction......Page 20
1.3.1 Autocorrelation Based Tests......Page 21
1.3.2 Univariate Tests for Unit Roots......Page 24
1.4 Conclusions......Page 27
2.1 Introduction......Page 28
2.2 Theoretical Foundations......Page 29
2.3 Data......Page 31
2.4 Regression and Cointegration Tests......Page 33
2.5 Conclusion......Page 35
3.1 Introduction......Page 36
3.2 Data and the Measurement of Futures Price Variability......Page 37
3.3 Empirical Results......Page 38
3.4 Conclusion......Page 50
4.1 Introduction......Page 51
4.2 Theoretical Foundations......Page 52
4.4 Test Results......Page 54
4.5 Conclusion......Page 56
5.1 Introduction......Page 59
5.2 The Data and Stochastic Trends......Page 60
5.3 Econometric Methodology and Empirical Results......Page 63
5.4 Conclusion......Page 67
Part 2: Natural Gas Markets......Page 68
6.1 Introduction......Page 72
6.2 The North American Natural Gas Spot Markets......Page 73
6.3 The Data and Stochastic Trends......Page 74
6.4 Test Methods (and Capabilities) and Results......Page 79
6.5 Conclusion......Page 85
7.1 Introduction......Page 86
7.2 The Stylized Facts......Page 87
7.3 Granger Causality Tests......Page 90
7.4 Conclusion......Page 93
8.1 Introduction......Page 95
8.2 Testing the Theory of Storage......Page 96
8.4 Empirical Results......Page 97
8.6 Conclusion......Page 99
Part 3: Electricity Markets......Page 102
9.1 Introduction......Page 106
9.2 Wholesale Trade of Electricity: Economic and Physical Implications......Page 107
9.3 The Alberta-British Columbia Interconnection......Page 109
9.4 Empirical Analysis......Page 110
9.5 An RTO Scenario in theWestern Region......Page 112
9.6 Conclusion......Page 114
10.1 Introduction......Page 116
10.2 The Role of Imports and Exports......Page 117
10.3 Data......Page 119
10.4 Granger Causality Tests......Page 121
10.5 Empirical Evidence......Page 131
10.6 Conclusions......Page 133
11.1 Introduction......Page 134
11.2 Literature Review......Page 135
11.3 The Data......Page 137
11.4 Testing for Stochastic Trends......Page 142
11.5 Testing for Cointegration......Page 144
11.6.1 Bivariate Granger Causality Tests......Page 150
11.6.2 Trivariate Granger Causality Tests......Page 153
11.7 Conclusions......Page 155
Part 4: Crude Oil, Natural Gas, and Electricity Markets......Page 158
12.1 Introduction......Page 162
12.2 Methodology......Page 163
12.3 Data and Results......Page 164
12.4 Conclusion......Page 167
13.1 Introduction......Page 169
13.2 Some Basic Facts......Page 170
13.3 The Integration Properties of the Variables......Page 172
13.4 Shared Price Trends......Page 176
13.5 Error Correction Estimates and Causality Tests......Page 179
13.6 Conclusion......Page 181
14.1 Introduction......Page 185
14.2.1 Common Trends......Page 187
14.2.2 Common Cycles......Page 188
14.2.3 Codependent Cycles......Page 189
14.3 The Evidence......Page 190
14.4 Common Features in Natural Gas Markets......Page 196
14.5 Conclusion......Page 200
Part 5: Volatility Modelling in Energy Markets......Page 202
15.1 Introduction......Page 206
15.2 The Data......Page 207
15.3 Modeling Returns......Page 209
15.4 Modeling Volatility......Page 212
15.5 Conclusion......Page 215
16.1 Introduction......Page 218
16.2 The Data......Page 219
16.3 The Model......Page 220
16.4 Empirical Results......Page 225
16.5 Conclusions......Page 233
Part 6: Chaos, Fractals, and Random Modulations in Energy Markets......Page 234
17.1 Introduction......Page 238
17.2 Background......Page 240
17.3 Basic Facts and Integration Tests......Page 241
17.4 Tests for Chaos......Page 245
17.5 Empirical Results......Page 247
17.6 Conclusion......Page 257
18.1 Introduction......Page 258
18.2.1 The Above and Below Test for Randomness......Page 259
18.2.2 The Hurst Test......Page 261
18.3 A Fractal NoiseModel......Page 262
18.3.2 The Structure Function Test......Page 263
18.4 AMultifractal Data Analysis......Page 266
18.5 On Turbulent Behavior......Page 267
18.6 Conclusion......Page 268
19.1 Introduction......Page 269
19.2 Randomly Modulated Periodicity......Page 270
19.3 Signal Coherence Spectrum......Page 272
19.4 Alberta’s Power Market......Page 273
19.5 RMP in Alberta’s Power Market......Page 275
19.6 Conclusion......Page 280
Bibliography......Page 282
Author Index......Page 296
Topic Index......Page 300