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Chaos Versus Stochastic Paradigm in Energy Markets

In: HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations

Author

Listed:
  • Loretta Mastroeni
  • Pierluigi Vellucci

Abstract

The purpose of the chapter is to gain a better understanding of energy market movements and dynamics by examining two competing theories: deterministic chaos theory and stochastic paradigm. We advocate that feature of both worlds may coexist in the same phenomenon. In particular, we reassess the chaotic paradigm, by considering the advances that have been made in the design of estimation tools. We illustrate all the methodologies exploited in the energy finance literature and the related results.

Suggested Citation

  • Loretta Mastroeni & Pierluigi Vellucci, 2020. "Chaos Versus Stochastic Paradigm in Energy Markets," World Scientific Book Chapters, in: Stéphane Goutte & Duc Khuong Nguyen (ed.), HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, chapter 30, pages 765-786, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789813278387_0030
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    Citations

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    Cited by:

    1. Benedetto, Francesco & Mastroeni, Loretta & Quaresima, Greta & Vellucci, Pierluigi, 2020. "Does OVX affect WTI and Brent oil spot variance? Evidence from an entropy analysis," Energy Economics, Elsevier, vol. 89(C).
    2. Mastroeni, Loretta & Mazzoccoli, Alessandro & Quaresima, Greta & Vellucci, Pierluigi, 2021. "Decoupling and recoupling in the crude oil price benchmarks: An investigation of similarity patterns," Energy Economics, Elsevier, vol. 94(C).

    More about this item

    Keywords

    Energy Finance; Financial and Economic Modeling; Volatility; Forecasting; Quantitative Finance; Energy Markets;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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