Sustainable Energy Consumption in Northeast Asia: A Case from China’s Fuel Oil Futures Market

Chi Zhang, Zhengning Pu and Qin Zhou
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Chi Zhang: School of Economics and Management, Southeast University, Nanjing 211102, Jiangsu, China
Zhengning Pu: School of Economics and Management, Southeast University, Nanjing 211102, Jiangsu, China
Qin Zhou: School of Economics and Management, Southeast University, Nanjing 211102, Jiangsu, China

Sustainability, 2018, vol. 10, issue 1, 1-14

Abstract: The sustainable energy consumption in northeast Asia has a huge impact on regional stability and economic growth, which gives price volatility research in the energy market both theoretical value and practical application. We select China’s fuel oil futures market as a research subject and use recurrence interval analysis to investigate the price volatility pattern in different thresholds. We utilize the stretched exponential function to fit the pattern of the recurrence intervals of price fluctuations and find that the probability density functions of the recurrence intervals in different thresholds do not show the scaling behavior. Then the conditional probability density function and detrended fluctuation analysis prove that there is short-term and long-term correlation. Last, we use a hazard function to introduce the recurrence intervals into the (value at risk) VaR calculation and establish a functional relationship between the mean recurrence interval and the threshold. Following this result, we also shed light on policy discussion for hedgers and government.

Keywords: sustainable development; recurrence interval; probability distribution; memory effect; risk estimation (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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