Association Webinars: Jump: Modeling of Abrupt Changes in Energy Prices



The prices of many key energy commodities, such as crude oil, natural gas and electricity, exhibit rapid and unexpected changes (also known as jumps). The speakers in this webinar review the evidence for jumps across different commodities, the relation to public attention and policy implications.


Professor Charles F. Mason, Department of Economics at the University of Wyoming; Additional affiliations: CESifo and Resource for the Future

Charles Mason is the H. A. "Dave" True, Jr. Chair in Petroleum and Natural Gas Economics in the Department of Economics and Associate Dean in the College of Business at the University of Wyoming. His research is mainly focused on energy / resource economics. He has served in a variety of editorial roles over the past few decades, including: editor of the Journal of Environmental Economics and Management; associate editor of the European Economic Review; co-editor of Economic Inquiry; joint editor-in-chief of Strategic Behavior and the Environment. He is a faculty fellow at Resources for the Future. He was a visiting academic at Cambridge, Oxford and the London School of Economics in the UK; the Venice International University in Italy; and the Toulouse School of Economics in France. He testified in the case brought by the US Department of Justice against BP related to the Deepwater Horizon oi l spill.


Dr. Julien Chevallier, Professor at University Paris 8 and Affiliated Professor at IPAG Business School, LED and IPAG Lab

Dr. Julien Chevallier is a Full Professor of Economics (Professeur des Universités) at University Paris VIII, Affiliated Professor of Commodity Markets at IPAG Business School (IPAG Lab) and Director of the MSc Money, Banking, Finance & Insurance. He undertakes research and lectures on empirical finance, applied time-series econometrics, and commodity markets. Dr. Chevallier received his Ph.D. in Economics from the University Paris Nanterre in 2008, and his M.Sc. in Economics from the London School of Economics in 2005. Dr. Chevallier has previously held visiting research positions at the Imperial College Business School (London), at the Centre for Economic Performance (London School of Economics), at Georgetown University, and at the World Bank (Washington DC). Dr. Chevallier is the author of the book Econometric Analysis of Carbon Markets (Springer), as well as the co-author of the Book The Economics of Commodity Markets(Wiley Finance). He has published articles in leading refereed journals, including the Journal of Empirical Finance; International Review of Financial Analysis; Quantitative Finance; Journal of Forecasting; Journal of International Financial Markets; Institutions & Money; European Journal of Operational Research and Annals of Operations Research. Furthermore, Dr. Chevallier currently serves as Associate Editor at Energy Economics among other appointments. His latest book (co-authored) is entitled Pricing and Forecasting Carbon Markets (Springer, 2017).

Dr. Marc Gronwald; Main affiliation: University of Aberdeen. Additional affiliations: CESifo and ifo Institute for Economic Research

Marc's current research focuses on empirical analyses of energy markets, in particular crude oil markets and emissions trading schemes such as the EU ETS. The aim of this research is to develop deep insights into the functioning of these markets and help to analyse whether this functioning changes over time. He is particularly interested in large price movements and he attempts to understand whether or not these movements can be explained by market fundamentals. A fundamental understanding of carbon markets is required to efficiently regulate greenhouse house emissions. Also crude oil is not only an important commodity, it is also relevant in the context of climate change as it is also a fossil fuel. If the dynamics of supply and demand of this fossil fuel are ignored, the efficiency of climate policy will be greatly diminished. In addition to this, Marc recently began working on the economics of cryptocurrencies - perhaps also because there are large price movements. Prior to his appointment as Senior Lecturer at the University of Aberdeen in September 2013, Marc held an appointment as Economist at the ifo Institute, Munich. He obtained a diploma (master equivalent) degree in Economics from the University of Bielefeld, and his PhD. from the University of Hamburg. Marc is member (fellow) of the CESifo Research Network and Research Associate of the ifo Center for Energy, Climate and Exhaustible Resources.


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