ENERGY MARKET RISK MANAGEMENT UNDER UNCERTAINTY: A VAR BASED ON WAVELET APPROACH
نویسندگان
چکیده
This study contributes to the literature on energy market risk management and portfolio by examining co-movements between several commodities in a context light of impact types uncertainty over time under high, medium, low frequencies. Using wavelet decomposition analysis, we first investigate lead-lag relationship together with power correlation major renewable non-renewable indexes indexes. Second, explore contribution portfolio. Our procedure reveals that dependent generally exists returns changes uncertainty. The risks clean crude oil are more sensitive financial uncertainties, whereas investing GAS markets offers diversification opportunities during periods Keywords: VaR Based Wavelet Approach; Energy market, UncertaintyJEL Classifications: C580; G15; E440.DOI: https://doi.org/10.32479/ijeep.11404
منابع مشابه
Market risk in commodity markets: a VaR approach
We put forward Value-at-Risk models relevant for commodity traders who have long and short trading positions in commodity markets. In a 5-year out-of-sample study on aluminium, copper, nickel, Brent crude oil and WTI crude oil daily cash prices and cocoa nearby futures contracts, we assess the performance of the RiskMetrics, skewed Student APARCH and skewed student ARCH models. While the skewed...
متن کاملAn intraday market risk management approach based on textual analysis
Available online 19 August 2010
متن کاملStrategic Bidding in a Pool-Based Electricity Market under Load Forecast Uncertainty
This paper proposes a method for determining the price bidding strategies of market participants consisting of Generation Companies (GENCOs) and Distribution Companies (DISCOs) in a day-ahead electricity market, while taking into consideration the load forecast uncertainty and demand response programs. The proposed algorithm tries to find a Pareto optimal point for a risk neutral participan...
متن کاملTrade Promotion Decisions Under Demand Uncertainty: A Market Experiment Approach
In this paper, we examine trade promotion decisions in manufacturer-retailer channels where retailers face consumer demand uncertainty. We first present the theoretical analysis for two types of markets where trade promotion discounts are offered either as off-invoices or as scan-backs. We derive testable hypotheses by comparing wholesale and retail prices, retailer order quantities, and profit...
متن کاملThe Optimal Number of Hospital Beds Under Uncertainty: A Costs Management Approach
Equipping hospital beds uses a great deal of a hospital''''s resources. Therefore, it is essential to consider the hospital beds'''' efficiency. To increase its efficiency, a fuzzy unrestricted model for managing hospital expenses is presented in this paper. The lack of beds in hospitals leads to patients’ admission loss and consecutively profit loss. On the other hand, increasing the bed count...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Energy Economics and Policy
سال: 2021
ISSN: ['2146-4553']
DOI: https://doi.org/10.32479/ijeep.11404