Oil and energy price volatility

By Eva D. Regnier. 2007

355 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/19b2da95734dacdc9c8ffbc82b88897a0d97cc52

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In Economics and Econometrics

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Citations in the corpus

The relationship between crude oil spot and futures prices: cointegration, linear and nonlinear causality (2008, background): “The effect of these events on price dynamics is evident and it can be summarized in the accelerated rise of the average level of oil prices and in the increased volatility (Regnier, 2007).”
The role of market fundamentals and speculation in recent price changes for crude oil (2011, background): “Compared to other commodities, the price of crude oil is not exceptionally volatile (Regnier, 2007).”
Interpreting the crude oil price movements: Evidence from the Markov regime switching model (2015, background): “For instance, Regnier [14] examines the price volatility for thousands of products by comparing standard deviation of price differences from January 1945 to August 2005.”
Metal volatility in presence of oil and interest rate shocks (2008, background): “…and Tamvakis (2001) who examined volatility transmission between the WTI crude traded on NYMEX and Brent crude traded on London’s IPE. 7 See also Regnier (2007) who contends that oil price volatility surpassed most other crude commodities' price volatility in the mid-1980s and this pattern…”
The Role of Time-Varying Price Elasticities in Accounting for Volatility Changes in the Crude Oil Market (2013, background): “In its simplest form, the crude oil market can be represented by the following demand and supply equations, measured as deviations from steady state: QDt = dt P t + "dt (1) QSt = st P t + "st (2) where oil demand QDt and oil supply Q S t at each point in time are respectively a negative and…”
A Methodology to Evaluate the Competitiveness of Electric Delivery Trucks (2013, background): “…relative to conventional trucks and the long-term stability and lower growth of electricity prices in relation to fuel fossil energy sources volatility (Regnier, 2007), it is unlikely that electricity price increases due to this phenomenon would have a large to affect the competitiveness of the EV.”
The Analysis of Security Cost for Different Energy Sources (2009, neutral): “(2), the standard deviation of price differences is commonly used as a measure of price volatility [26–30].”
Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014, background): “…on commodity volatility have been gaining importance due to rising volatility and the increasing role commodities play in the international asset markets (e.g., Creti et al., 2013; Dahl and Iglesias, 2009; Kang and Yoon, 2013; Regnier, 2007, Thuraisamy et al., 2013; Vivian and Wohar, 2012).”
Analytical pricing of discretely monitored Asian-style options: Theory and application to commodity markets (2008, neutral): “Calculations are performed using the pricing formula (23).”
Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2012, background): “Oil prices traditionally have been more volatile than many other commodity or asset prices [65].”