Essays about: "oil and gas price volatility"

Showing result 1 - 5 of 7 essays containing the words oil and gas price volatility.

1. 1. Understanding European Natural Gas Market Dynamics : An ARCH Analysis of the Relationship Between Natural Gas Prices and Imports

   University essay from

   Author : Christoph Ellersiek; Nadia Gnerre; [2023]
   Keywords : Natural Gas; TTF Prices; Natural Gas Imports; ARCH Model; Edgeworth Model; Price Volatility;

   Abstract : This thesis analyses the relationship between month-ahead natural gas prices and imports into Europe against the backdrop of the 2022 Russian gas curtailment and gas price spike. Employing an ARCH model, the analysis focuses on the consortium of five major European consumers of natural gas: Italy, Germany, the Netherlands, the United Kingdom, and France. READ MORE

3. 2. Natural gas storage level forecasting using temperature data

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Daniel Sundin; [2020]
   Keywords : Natural gas storage forecasting; Natural gas storage; Natural gas; Storage forecasting; Forecasting; Futures; Futures forecasting; Natural gas futures forecasting; Least squares regression; Regression; Machine learning; Exponential Weighted Moving Average; Moving Average; EWMA; MA; Seasonality; Commodity futures; Optimisation; Inverse problems; Consumption forecasting; Production Forecasting; Residential; Commercial; Industrial; Electric power; NOAA; EIA; Pipelines; Polynomial; Weather stations;

   Abstract : Even though the theory of storage is historically a popular view to explain commodity futures prices, many authors focus on the oil price link. Past studies have shown an increased futures price volatility on Mondays and days when natural gas storage levels are released, which could both implicate that storage levels and temperature data are incorporated in the prices. READ MORE

4. 3. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Alexander Noshkov; Zafer Demirtas; [2017]
   Keywords : Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

   Abstract : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. READ MORE

5. 4. The Impact of Oil Price Shocks on Stock Returns of European Industries

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jonas Von Werder; Yue Lin; [2016]
   Keywords : vector autoregressive model; oil prices; oil price volatility; asymmetric oil price effects; financial crisis;

   Abstract : Using a VAR approach, we investigate the sensitivity of European industry returns to linear oil price changes and oil price volatility for a period from January 1995 until December 2015. We show that the response to a change in the price of oil is varying across industries and across the sample period. READ MORE

6. 5. Price and Volatility Prediction in the EU ETS Market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Gustav E Ljungqvist; David Palmqvist; [2014-03-10]
   Keywords : ;

   Abstract : In this thesis we examine return and volatility predictability of continuous futures contracts within the European Union Emissions Trading System (EU ETS). The market has been active for nine years and we examine whether it is more mature now compared to a few years ago when most existing research was carried out. READ MORE