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.

Integration of energy commodity prices in US and in Europe / D'Ecclesia, RITA LAURA; Bencivenga, C; Sargenti, G.. - In: JOURNAL OF RISK MANAGEMENT IN FINANCIAL INSTITUTIONS. - ISSN 1752-8887. - STAMPA. - 4:3(2011), pp. 301-313.

Integration of energy commodity prices in US and in Europe

D'ECCLESIA, RITA LAURA;
2011

Abstract

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.
2011
integration; energy markets; cointegration
01 Pubblicazione su rivista::01a Articolo in rivista
Integration of energy commodity prices in US and in Europe / D'Ecclesia, RITA LAURA; Bencivenga, C; Sargenti, G.. - In: JOURNAL OF RISK MANAGEMENT IN FINANCIAL INSTITUTIONS. - ISSN 1752-8887. - STAMPA. - 4:3(2011), pp. 301-313.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/68276
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