Although portfolio management didn't change much during the 40 years after the seminal
works of Markowitz and Sharpe, the development of risk budgeting techniques marked an …

Praise for Energy and Power Risk Management" Energy and Power Risk Management
identifies and addresses the key issues in the development of the turbulent energy industry …

Electricity spot prices in the emerging power markets are volatile, a consequence of the
unique physical attributes of electricity production and distribution. Uncontrolled exposure to …

We present an empirical analysis of restructured electricity prices. We study the distributional
and temporal properties of the price process in a non-parametric framework, after which we …

We develop an equilibrium model of the term structure of forward prices for storable
commodities. As a consequence of a nonnegativity constraint on inventory, the spot …

This article analyses the evolution of electricity prices in deregulated markets. We present a
general class of models that simultaneously takes into account several factors: seasonality …

In competitive electricity markets, in addition to the uncertainty of exogenous variables such
as energy demand, water inflows, and availability of generation units and fuel costs …

The recent deregulation in electricity markets worldwide has heightened the importance of
risk management in energy markets. Assessing Value-at-Risk (VaR) in electricity markets is …

This study estimates three time series models (ARIMA, ARIMA-EGARCH, and ARIMA-
EGARCH-M) for hourly real time electricity prices for each of the five hubs of the Midwest …

In this paper we employ regime volatility models to describe time dependency in petroleum
markets. Using a sample of NYMEX and ICE futures contracts, we establish the existence of …