Thursday, 21 Feb 2019 | |
8:30-10:00 | Session 1 – Investment in Commodity Markets Session Chair: Marcel Prokopczuk |
1. Predictive regressions in commodity markets Jean-Baptiste Bonnier (University of Nantes) |
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2. Curve Momentum Chardin Wese Simen (University of Reading) |
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3. Financialization, Common Stochastic Trends and Commodity Prices Moses Mananyi Kupabado (University of Erlangen-Nuremberg) |
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10:00-10:30 | Coffee break |
10:30-12:00 | Session 2 – Oil Market Session Chair: Betty Simkins |
1. Climate Change Risks, Stock Returns, and the Oil Sector Steffen Hitzemann (Rutgers University) |
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2. Rise of unconventional oil and stock market returns Veronika Selezneva (CERGE-EI) |
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3. The Shale Revolution, Geopolitical Risk, and Oil Price Volatility Fuyu Yang (University of East Anglia) |
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12:00-13:00 | Lunch break |
13:00-14:30 | Session 3 – Microstructure of Commodity Markets Session Chair: Brian Lucey |
1. The Natural Gas Announcement Puzzle Robert Wichmann (University of Reading) |
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2. Skin in the game: Resource proximity and price impact Tom Steffen (University of Geneva) |
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3. The Impact of SHFE's Night Trading Session on Volume and Realized Volatility of Aluminum and Copper Futures Markets Tony Klein (Queen’s University Belfast) |
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14:30-15:00 | Coffee break |
15:00-16:30 | Session 4 – Commodity Futures Markets Session Chair: Steffen Hitzemann |
1. The Information Content of Commodity Futures Markets Rómulo Alves (Erasmus University Rotterdam) |
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2. Commodity Market Volatility Christoph Würsig (Leibniz University Hannover) |
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3. Real-time forecasts of Henry Hub natural gas prices Arthur Thomas (University of Nantes) |
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17:00-18:30 | Session 5 – Electricity Markets Session Chair: Sjur Westgaard |
1. Day-ahead or intra-day market - forecasting the price spread Tomek Weron (Wroclaw University) |
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2. Econometric modelling and forecasting of intraday electricity prices Michał Narajewski (University of Duisburg-Essen) |
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3. Averaging Day-Ahead Electricity Price Forecasts For Autoregressive Models Across Calibration Windows of Various Lengths Tomasz Serafin (Wroclaw University) |
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19:00-22:00 | Workshop Dinner Restaurant Zeitfür Address: Hannah-Arendt-Platz 1, 30159 Hannover |
Friday, 22 Feb 2019 | |
8:30-10:00 | Session 6 – Agricultural Commodities Session Chair: Takashi Kanamura |
1. Coffee, orange juice and milk: What is missing on your table? Devmali Perera (University of Canterbury) |
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2. Piecemeal State-Level Farm Regulation and the U.S. Commerce Clause Dan Scheitrum (University of Arizona) |
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3. Linear-Quadratic Jump-Diffusion Model with Stochastic Convenience Yield and Seasonality Adjustments in Fish Pool Market Yihan Zou (University of Glasgow) |
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10:00-10:30 | Coffee break |
10:30-12:30 | Session 7 – Risk Management in Commodity Markets Session Chair: Tony Klein |
1. Optimal risk management problem of natural resources: Application to oil drilling Stéphane Goutte (University Paris 8) |
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2. The Impact of Outliers on Computing Conditional Risk Measures for Crude Oil and Natural Gas Commodity Futures Prices Betty Simkins (Oklahoma State University) |
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3. Hedging under square loss Daumantas Bloznelis (Inland Norway University of Applied Sciences) |
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4. The 11th largest commodity trading losses 1970-2018 Sjur Westgaard (NTNU Trondheim) |
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12:30-13:30 | Lunch break |
13:00-14:30 | Session 8 – Commodity Markets and the Macroeconomy Session Chair: Chardin Wese Simen |
1. The Role of Income in Industrial Commodity Demand Pete Nagle (Worldbank) |
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2. Monopoly Power in the Oil Market and the Macroeconomy René Flacke (University of Münster |
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3. An Analysis of the Intellectual Structure of Research on the Financial Economics of Precious Metals Brian Lucey (Trinity College Dublin) |
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14:30-15:00 | 14:30-15:00 |
15:30-17:00 | Session 9 – Renewables Session Chair: Tom Steffen |
1. Subsidies in Renewable Energy: An Investor’s Perspective Alexander Kronies (Copenhagen Business School) |
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2. Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power Takashi Kanamura (Kyoto University) |
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3. A New Real Options Method for R&D Investment Analysis: Application to CO2 Recycling Technology Peter Deeney (Dublin City University) |