Quantitative And Empirical Analysis Of Energy Markets (Revised Edition)
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and Random Modulations in Energy Markets
Business Cycles and Energy Prices
Category=KCH
Category=KNB
Chaos
Codependent Cycles in Energy Markets
Common Features in Energy Markets
Crude Oil Markets
Electricity Markets
Energy Markets Volatility
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eq_business-finance-law
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Forecasting Energy Prices
Fractals
Natural Gas Markets
Volatility Modeling in Energy Markets
Product details
- ISBN 9789814436212
- Publication Date: 21 Feb 2013
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
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The revised edition of this book captures new developments in economics and finance. Turning its focus towards the application of Engle's (1982) autoregressive conditional heteroscedasticity (ARCH) in cutting-edge research and a discussion of whether energy prices reflect long memory, this book will keep readers up-to-date with current developments in the literature. It presents twenty-one empirical studies of econometric time series analysis of crude oil, natural gas and electricity markets in face of the rapidly changing dynamics of the energy markets. Amongst them, several studies employ nonlinear time series methods, unlike the standard linear approach commonly used, to reflect the nonlinear nature of the economic system.Two new chapters are included, extending beyond the leading-edge research and innovative energy markets econometrics detailed in the first edition: Chapter 17 examines the effects of oil price changes and speculations on economic activity and Chapter 20 re-evaluates empirical evidence for random walk type behavior in energy futures prices using a statistical physics approach.
