Programme

Thursday, 21 Feb 2019
8:30-10:00Session 1 – Investment in Commodity Markets
Session Chair: Marcel Prokopczuk
      1. Predictive regressions in commodity markets
      Jean-Baptiste Bonnier (University of Nantes)
      2. Curve Momentum
      Chardin Wese Simen (University of Reading)
      3. Financialization, Common Stochastic Trends and Commodity Prices
      Moses Mananyi Kupabado (University of Erlangen-Nuremberg)
10:00-10:30Coffee break
10:30-12:00Session 2 – Oil Market
Session Chair: Betty Simkins
      1. Climate Change Risks, Stock Returns, and the Oil Sector
      Steffen Hitzemann (Rutgers University)
      2. Rise of unconventional oil and stock market returns
      Veronika Selezneva (CERGE-EI)
      3. The Shale Revolution, Geopolitical Risk, and Oil Price Volatility
      Fuyu Yang (University of East Anglia)
12:00-13:00Lunch break
13:00-14:30Session 3 – Microstructure of Commodity Markets
Session Chair: Brian Lucey
      1. The Natural Gas Announcement Puzzle
      Robert Wichmann (University of Reading)
      2. Skin in the game: Resource proximity and price impact
      Tom Steffen (University of Geneva)
      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)
14:30-15:00Coffee break
15:00-16:30Session 4 – Commodity Futures Markets
Session Chair: Steffen Hitzemann
      1. The Information Content of Commodity Futures Markets
      Rómulo Alves (Erasmus University Rotterdam)
      2. Commodity Market Volatility
      Christoph Würsig (Leibniz University Hannover)
      3. Real-time forecasts of Henry Hub natural gas prices
      Arthur Thomas (University of Nantes)
17:00-18:30Session 5 – Electricity Markets
Session Chair: Sjur Westgaard
      1. Day-ahead or intra-day market - forecasting the price spread
      Tomek Weron (Wroclaw University)
      2. Econometric modelling and forecasting of intraday electricity prices
      Michał Narajewski (University of Duisburg-Essen)
      3. Averaging Day-Ahead Electricity Price Forecasts For Autoregressive Models Across Calibration Windows of Various Lengths
      Tomasz Serafin (Wroclaw University)
19:00-22:00Workshop Dinner
Restaurant Zeitfür
Address: Hannah-Arendt-Platz 1, 30159 Hannover
Friday, 22 Feb 2019
8:30-10:00Session 6 – Agricultural Commodities
Session Chair: Takashi Kanamura
      1. Coffee, orange juice and milk: What is missing on your table?
      Devmali Perera (University of Canterbury)
      2. Piecemeal State-Level Farm Regulation and the U.S. Commerce Clause
      Dan Scheitrum (University of Arizona)
      3. Linear-Quadratic Jump-Diffusion Model with Stochastic Convenience Yield and Seasonality Adjustments in Fish Pool Market
      Yihan Zou (University of Glasgow)
10:00-10:30Coffee break
10:30-12:30Session 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)
      2. The Impact of Outliers on Computing Conditional Risk Measures for Crude Oil and Natural Gas Commodity Futures Prices
      Betty Simkins (Oklahoma State University)
      3. Hedging under square loss
      Daumantas Bloznelis (Inland Norway University of Applied Sciences)
      4. The 11th largest commodity trading losses 1970-2018
      Sjur Westgaard (NTNU Trondheim)
12:30-13:30Lunch break
13:00-14:30Session 8 – Commodity Markets and the Macroeconomy
Session Chair: Chardin Wese Simen
      1. The Role of Income in Industrial Commodity Demand
      Pete Nagle (Worldbank)
      2. Monopoly Power in the Oil Market and the Macroeconomy
      René Flacke (University of Münster
      3. An Analysis of the Intellectual Structure of Research on the Financial Economics of Precious Metals
      Brian Lucey (Trinity College Dublin)
14:30-15:0014:30-15:00
15:30-17:00Session 9 – Renewables
Session Chair: Tom Steffen
      1. Subsidies in Renewable Energy: An Investor’s Perspective
      Alexander Kronies (Copenhagen Business School)
      2. Volumetric Risk Hedging Strategies and Basis Risk Premium for Solar Power
      Takashi Kanamura (Kyoto University)
      3. A New Real Options Method for R&D Investment Analysis: Application to CO2 Recycling Technology
      Peter Deeney (Dublin City University)