Visiting professor for Commodity risk management analysis

congedo per motivi di studio

This paper analyzes the price dynamics of crude oil, natural gas and electricity and investigates the relationship between them. Given the regional nature of energy commodity markets the analysis is performed separately on the US and the Europe market. The aim of the paper is to measure the level of integration existing within each energy com- modity market using an ECM framework. To measure the relationship existing between oil, gas and electricity represents a crucial issue for risk management, given the role correlation plays in the pricing of derivative contracts.