A supply and demand based volatility model for energy prices (Record no. 45621)

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control field MX-MdCICY
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control field 20250625140649.0
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Transcribing agency CICY
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Classification number (OCLC) (R) ; Classification number, CALL (RLIN) (NR) B-11402
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Title A supply and demand based volatility model for energy prices
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Volume/sequential designation Energy Economics, 31, p.736-747, 2009
520 3# - SUMMARY, ETC.
Summary, etc. This paper proposes a new volatility model for energy prices using the supply-demand relationship, which we call a supply and demand based volatility model. We show that the supply curve shape in the model determines the characteristics of the volatility in energy prices. It is found that the inverse Box-Cox transformation supply curve reflecting energy markets causes the inverse leverage effect, i.e., positive correlation between energy prices and volatility. The model is also used to show that an existing (G)ARCH-M model has the foundations on the supply-demand relationship. Additionally, we conduct the empirical studies analyzing the volatility in the U.S. natural gas prices
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element ENERGY PRICES
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element VOLATILITY
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element SUPPLY CURVE
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element INVERSE LEVERAGE EFFECT
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element VOLATILITY-IN-MEAN EFFECT
700 12 - ADDED ENTRY--PERSONAL NAME
Personal name Kanamura, T.
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="https://drive.google.com/file/d/1vHxiYJTt6JHkjN6wWnQ7yCnm_wro_9sw/view?usp=drivesdk">https://drive.google.com/file/d/1vHxiYJTt6JHkjN6wWnQ7yCnm_wro_9sw/view?usp=drivesdk</a>
Public note Para ver el documento ingresa a Google con tu cuenta: @cicy.edu.mx
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Source of classification or shelving scheme Clasificación local
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  Clasificación local     Ref1 CICY CICY Documento préstamo interbibliotecario 25.06.2025   B-11402 25.06.2025 25.06.2025 Documentos solicitados