
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...
Series: World Scientific Series on Environmental and Energy Economics and Policy (Book 1)
Paperback: 304 pages
Publisher: Wspc (April 27, 2007)
Language: English
ISBN-10: 9789813203389
ISBN-13: 978-9813203389
ASIN: 9813203382
Product Dimensions: 6 x 0.7 x 9 inches
Amazon Rank: 6345574
Format: PDF ePub Text djvu book
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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)