Quantitative and Empirical Analysis of Energy Markets

The following sections are included:

• Foreword

• Contents

The following table contains a brief summary of the contents of each chapter in Part 1 of the book. This part of the book consists of five chapters dealing with recent state-of-the-art advances in the field of applied econometrics and their application to petroleum prices.

The following sections are included:

• Introduction

• Data

• Empirical Evidence
  • Autocorrelation Based Tests
  • Univariate Tests for Unit Roots

• Conclusions

The following sections are included:

• Introduction

• Theoretical Foundations

• Data

• Regression and Cointegration Tests

• Conclusion

The following sections are included:

• Introduction

• Data and the Measurement of Futures Price Variability

• Empirical Results

• Conclusion

The following sections are included:

• Introduction

• Theoretical Foundations

• Data

• Test Results

• Conclusion

The following sections are included:

• Introduction

• The Data and Stochastic Trends

• Econometric Methodology and Empirical Results

• Conclusion

The following table contains a brief summary of the contents of the chapters in Part 2 of the book. This part of the book consists of three chapters addressing a number of issues regarding natural gas markets.

The following sections are included:

• Introduction

• The North American Natural Gas Spot Markets

• The Data and Stochastic Trends

• Test Methods (and Capabilities) and Results

• Conclusion

The following sections are included:

• Introduction

• The Stylized Facts

• Granger Causality Tests

• Conclusion

The following sections are included:

• Introduction

• Testing the Theory of Storage

• The Data

• Empirical Results

• Robustness

• Conclusion

The following table contains a brief summary of the contents of the chapters in Part 3 of the book. This part of the book consists of three chapters (two of which have not been previously published) devoted to electricity issues in Alberta's deregulated electricity market.

The following sections are included:

• Introduction

• Wholesale Trade of Electricity: Economic and Physical Implications

• The Alberta-British Columbia Interconnection

• Empirical Analysis

• An RTO Scenario in the Western Region

• Conclusion

The following sections are included:

• Introduction

• The Role of Imports and Exports

• Data

• Granger Causality Tests

• Empirical Evidence

• Conclusions

The following sections are included:

• Introduction

• Literature Review

• The Data

• Testing for Stochastic Trends

• Testing for Cointegration

• Error Correction Modeling and Causality Testing
  • Bivariate Granger Causality Tests
  • Trivariate Granger Causality Tests

• Conclusions

The following table contains a brief summary of the contents of the chapters in Part 4 of the book. This part of the book consists of three chapters addressing a number of issues regarding crude oil, natural gas, and electricity markets.

The following sections are included:

• Introduction

• Methodology

• Data and Results

• Conclusion

The following sections are included:

• Introduction

• Some Basic Facts

• The Integration Properties of the Variables

• Shared Price Trends

• Error Correction Estimates and Causality Tests

• Conclusion

The following sections are included:

• Introduction

• Common Trends and Common Cycles
  • Common Trends
  • Common Cycles
  • Codependent Cycles

• The Evidence

• Common Features in Natural Gas Markets

• Conclusion

The following table contains a brief summary of the contents of the chapters in Part 5 of the book. This part of the book consists of two chapters that use recent advances in the financial econometrics literature.

The following sections are included:

• Introduction

• The Data

• Modeling Returns

• Modeling Volatility

• Conclusion

The following sections are included:

• Introduction

• The Data

• The Model

• Empirical Results

• Conclusions

The following table contains a brief summary of the contents of the chapters in Part 6 of the book. Part 6 of the book consists of three chapters that apply tests from statistics and dynamical systems theory to examine the behaviour of energy prices.

The following sections are included:

• Introduction

• Background

• Basic Facts and Integration Tests

• Tests for Chaos

• Empirical Results

• Conclusion

The following sections are included:

• Introduction

• Data and Statistical Analysis
  • The Above and Below Test for Randomness
  • The Hurst Test

• A Fractal Noise Model
  • The Power Spectrum
  • The Structure Function Test

• A Multifractal Data Analysis

• On Turbulent Behavior

• Conclusion

The following sections are included:

• Introduction

• Randomly Modulated Periodicity

• Signal Coherence Spectrum

• Alberta's Power Market

• RMP in Alberta's Power Market

• Conclusion

The following sections are included:

• Bibliography

• Author Index

• Topic Index