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CAIRO BOOKS's Description
Bringing together leading-edge research and innovative energy markets
econometrics, this book collects the author's most important recent
contributions in energy economics. In particular, the book: applies recent
advances in the field of applied econometrics to investigate a number of issues
regarding energy markets, including the theory of storage and the efficient
markets hypothesis; presents the basic stylized facts on energy price movements
using correlation analysis, causality tests, integration theory, cointegration
theory, as well as recently developed procedures for testing for shared and
codependent cycles; and, uses recent advances in the financial econometrics
literature to model time-varying returns and volatility in energy prices and to
test for causal relationships between energy prices and their volatilities. It
also explores the functioning of electricity markets and applies conventional
models of time series analysis to investigate a number of issues regarding
wholesale power prices in the western North American markets; and applies tools
from statistics and dynamical systems theory to test for nonlinear dynamics and
deterministic chaos in a number of North American hydrocarbon markets (those of
ethane, propane, normal butane, iso-butane, naptha, crude oil, and natural gas).