The Interrelationship Between Financial and Energy Markets

1. Front Matter

   Pages i-xxi

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2. Oil Industry

   1. Front Matter

      Pages 1-1

      PDF

   2. Risk Factors in the Oil Industry: An Upstream and Downstream Analysis

      • Sofia B. Ramos, Helena Veiga, Chih-Wei Wang

      Pages 3-32

   3. Cost, Risk-Taking, and Value in the Airline Industry

      • Paul A. Laux, He Yan, Chi Zhang

      Pages 33-54

3. The Impact of Oil Shocks

   1. Front Matter

      Pages 55-55

      PDF

   2. Oil Prices, Volatility, and Shocks: A Survey

      • Ulrich Oberndorfer

      Pages 57-70

   3. Oil Shock Transmission to Stock Market Returns: Wavelet-Multivariate Markov Switching GARCH Approach

      • Rania Jammazi

      Pages 71-111

   4. Forcing Variables in the Dynamics of Risk Spillovers in Oil-Related CDS Sectors, Equity, Bond and Oil Markets and Volatility Market Risks

      • Shawkat Hammoudeh, Ramazan Sari

      Pages 113-140

   5. Oil Futures Market: A Dynamic Model of Hedging and Speculation

      • Giulio Cifarelli, Giovanna Paladino

      Pages 141-155

   6. Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting

      • Andrea Bastianin, Matteo Manera, Anil Markandya, Elisa Scarpa

      Pages 157-181

4. Electricity Markets

   1. Front Matter

      Pages 183-183

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   2. Commodity Price Interaction: CO2 Allowances, Fuel Sources and Electricity

      • Mara Madaleno, Carlos Pinho, Cláudia Ribeiro

      Pages 185-213

   3. An Overview of Electricity Price Regimes in the U.S. Wholesale Markets

      • José G. Dias, Sofia B. Ramos

      Pages 215-232

   4. Pricing Futures and Options in Electricity Markets

      • Fred Espen Benth, Maren Diane Schmeck

      Pages 233-260

   5. Switching from Feed-in Tariffs to a Tradable Green Certificate Market

      • Aitor Ciarreta, Maria Paz Espinosa, Cristina Pizarro-Irizar

      Pages 261-280

   6. Unobserved Heterogeneous Effects in the Cost Efficiency Analysis of Electricity Distribution Systems

      • Per J. Agrell, Mehdi Farsi, Massimo Filippini, Martin Koller

      Pages 281-302

In the last decade, energy markets have developed substantially due to the growing activity of financial investors. One consequence of this massive presence of investors is a stronger link between the hitherto segmented energy and financial markets. This book addresses some of the recent developments in the interrelationship between financial and energy markets. It aims to further the understanding of the rich interplay between financial and energy markets by presenting several empirical studies that illustrate and discuss some of the main issues on this agenda.

• Electricity
• Energy
• Energy Policy
• Markets
• Oil

• Finance Department, Instituto Universitário de Lisboa (ISCTE-IUL), Lisboa, Portugal

  Sofia Ramos

• Department of Statistics, University Carlos III/Madrid, Getafe, Spain

  Helena Veiga

Sofia Brito Ramos is currently assistant professor of finance at ISCTE-Lisbon Universitario de Lisboa. Her research is broadly on portfolio management, energy finance and international finance and she is interested in the financialization of commodities markets and the financial investments in the energy sector. She has published her work in Energy Economics, Energy, Review of Finance, Journal of Banking and Finance, Journal of Empirical Finance, Journal of Financial Markets, European Financial Management, Economic Modelling, European Finance Journal, and International Journal of Finance and Economics. Ramos holds a MSC in Economics from Universitat Pompeu Fabra, Barcelona, and a Ph.D. in Finance from the Swiss Finance Institute, University of Lausanne.

Helena Veiga is currently associate professor of econometrics at the Statistic Department of the Universidad Carlos III de Madrid. Her research is on financial econometrics, time series, panel data, empirical finance, in particular experimental finance, commodities markets and financial investments in the energy sector. She has published her work in the Journal of Banking and Finance, Journal of Empirical Finance, European Review of Economics, Energy Economics, Experimental Economics, Computational Statistics and Data Analysis and Journal of Productivity Analysis. Helena Veiga holds a Ph.D. in Economics from Universitat Autònoma de Barcelona.

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