{"id":"https://openalex.org/W1992857537","doi":"https://doi.org/10.1016/j.eneco.2011.10.001","title":"Modelling energy spot prices: Empirical evidence from NYMEX","display_name":"Modelling energy spot prices: Empirical evidence from NYMEX","publication_year":2011,"publication_date":"2011-10-19","ids":{"openalex":"https://openalex.org/W1992857537","doi":"https://doi.org/10.1016/j.eneco.2011.10.001","mag":"1992857537"},"language":"en","primary_location":{"id":"doi:10.1016/j.eneco.2011.10.001","doi":"https://doi.org/10.1016/j.eneco.2011.10.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eneco.2011.10.001","pdf_url":null,"source":{"id":"https://openalex.org/S94499970","display_name":"Energy Economics","issn_l":"0140-9883","issn":["0140-9883","1873-6181"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Energy Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5009943396","display_name":"Nikos K. Nomikos","orcid":"https://orcid.org/0000-0003-1621-2991","observed_orcids":["https://orcid.org/0000-0003-1621-2991","https://orcid.org/0000-0001-7871-4132"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Nikos Nomikos","raw_affiliation_strings":["Faculty of Finance, Cass Business School, 106 Bunhill London EC1Y 8TZ, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Faculty of Finance, Cass Business School, 106 Bunhill London EC1Y 8TZ, UK","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5048444836","display_name":"Kostas D. Andriosopoulos","orcid":"https://orcid.org/0009-0002-8614-6993","observed_orcids":["https://orcid.org/0009-0002-8614-6993"]},"institutions":[{"id":"https://openalex.org/I4210140385","display_name":"ESCP Business School","ror":"https://ror.org/036d5c397","country_code":"GB","type":"education","lineage":["https://openalex.org/I4210140385","https://openalex.org/I4210149577"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Kostas Andriosopoulos","raw_affiliation_strings":["ESCP Europe Business School, 527 Finchley Road, London NW3 7BG, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"ESCP Europe Business School, 527 Finchley Road, London NW3 7BG, UK","institution_ids":["https://openalex.org/I4210140385"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5009943396"],"corresponding_institution_ids":[],"apc_list":{"value":4280,"currency":"USD","value_usd":4280},"apc_paid":null,"fwci":13.8054,"has_fulltext":false,"cited_by_count":83,"citation_normalized_percentile":{"value":0.98352277,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"34","issue":"4","first_page":"1153","last_page":"1169"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.5634999871253967,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.5634999871253967,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.36719998717308044,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.05900000035762787,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/nymex","display_name":"NYMEX","score":0.8740000128746033},{"id":"https://openalex.org/keywords/spike-model","display_name":"spike model","score":0.8539999723434448},{"id":"https://openalex.org/keywords/jump-processes","display_name":"jump processes","score":0.5109999775886536},{"id":"https://openalex.org/keywords/time-varying-volatility","display_name":"time-varying volatility","score":0.9399999976158142},{"id":"https://openalex.org/keywords/garch","display_name":"GARCH","score":0.9490000009536743},{"id":"https://openalex.org/keywords/egarch","display_name":"EGARCH","score":0.9980000257492065},{"id":"https://openalex.org/keywords/leverage-effect","display_name":"leverage effect","score":0.7950000166893005},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.7549999952316284},{"id":"https://openalex.org/keywords/wti-crude-oil","display_name":"WTI crude oil","score":0.75},{"id":"https://openalex.org/keywords/heating-oil","display_name":"heating oil","score":0.9729999899864197},{"id":"https://openalex.org/keywords/futures-contracts","display_name":"futures contracts","score":0.4050000011920929},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.781000018119812}],"concepts":[{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.8738691806793213},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7284489870071411},{"id":"https://openalex.org/C70784835","wikidata":"https://www.wikidata.org/wiki/Q1049071","display_name":"West Texas Intermediate","level":3,"score":0.6500944495201111},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6159603595733643},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.6153303384780884},{"id":"https://openalex.org/C175223733","wikidata":"https://www.wikidata.org/wiki/Q1047888","display_name":"Spot contract","level":3,"score":0.6140938997268677},{"id":"https://openalex.org/C153083717","wikidata":"https://www.wikidata.org/wiki/Q6535263","display_name":"Leverage (statistics)","level":2,"score":0.5877076387405396},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5354039669036865},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.452523410320282},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.43700048327445984},{"id":"https://openalex.org/C198531522","wikidata":"https://www.wikidata.org/wiki/Q485146","display_name":"Sample (material)","level":2,"score":0.4189390540122986},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3276960551738739},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2476010024547577},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.15169772505760193},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.eneco.2011.10.001","doi":"https://doi.org/10.1016/j.eneco.2011.10.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.eneco.2011.10.001","pdf_url":null,"source":{"id":"https://openalex.org/S94499970","display_name":"Energy Economics","issn_l":"0140-9883","issn":["0140-9883","1873-6181"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-200","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Energy Economics","raw_type":"journal-article"},{"id":"pmh:oai:openaccess.city.ac.uk:7526","doi":null,"is_oa":false,"landing_page_url":"https://openaccess.city.ac.uk/view/creators_id/n=2Enomikos.html>","pdf_url":null,"source":{"id":"https://openalex.org/S4306401940","display_name":"City Research Online (City University London)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I180825142","host_organization_name":"City, University of London","host_organization_lineage":["https://openalex.org/I180825142"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"Article"},{"id":"pmh:oai:RePEc:eee:eneeco:v:34:y:2012:i:4:p:1153-1169","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0140988311002295","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Affordable and clean energy","score":0.5690000057220459,"id":"https://metadata.un.org/sdg/7"}],"sustainable_development_goals_aurora":[{"display_name":"Affordable and clean energy","score":0.75,"id":"https://metadata.un.org/sdg/7"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":55,"referenced_works":["https://openalex.org/W168519421","https://openalex.org/W659384096","https://openalex.org/W1482923053","https://openalex.org/W1503295912","https://openalex.org/W1539776946","https://openalex.org/W1557170427","https://openalex.org/W1576326745","https://openalex.org/W1587738345","https://openalex.org/W1588163064","https://openalex.org/W1911634102","https://openalex.org/W1968484728","https://openalex.org/W1971902718","https://openalex.org/W1972180129","https://openalex.org/W1975994995","https://openalex.org/W1977970167","https://openalex.org/W1979575715","https://openalex.org/W1988611515","https://openalex.org/W1995503011","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2012162388","https://openalex.org/W2020041898","https://openalex.org/W2025290112","https://openalex.org/W2039364161","https://openalex.org/W2058428373","https://openalex.org/W2063750298","https://openalex.org/W2064827017","https://openalex.org/W2068460386","https://openalex.org/W2071942448","https://openalex.org/W2077292703","https://openalex.org/W2077791698","https://openalex.org/W2079615115","https://openalex.org/W2089240053","https://openalex.org/W2093230975","https://openalex.org/W2096240799","https://openalex.org/W2097580026","https://openalex.org/W2109122936","https://openalex.org/W2117019869","https://openalex.org/W2133722028","https://openalex.org/W2141186877","https://openalex.org/W2145777288","https://openalex.org/W2150956140","https://openalex.org/W2151065060","https://openalex.org/W2153547836","https://openalex.org/W2157910496","https://openalex.org/W2267396861","https://openalex.org/W2322618201","https://openalex.org/W2584798035","https://openalex.org/W2784613697","https://openalex.org/W2802241598","https://openalex.org/W3121937475","https://openalex.org/W3124475197","https://openalex.org/W3125368445","https://openalex.org/W4365787967","https://openalex.org/W7097197258"],"related_works":["https://openalex.org/W1716202393","https://openalex.org/W3123130712","https://openalex.org/W7067650969","https://openalex.org/W2018786965","https://openalex.org/W2106708873","https://openalex.org/W1567682293","https://openalex.org/W1612613539","https://openalex.org/W1559338160","https://openalex.org/W2164378403","https://openalex.org/W2796670912"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":8},{"year":2020,"cited_by_count":8},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":11},{"year":2017,"cited_by_count":7},{"year":2016,"cited_by_count":4},{"year":2015,"cited_by_count":7},{"year":2014,"cited_by_count":6},{"year":2013,"cited_by_count":8},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}