Three essays on electricity spot and financial derivative prices at the nordic power exchange:
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | German |
| Published: |
2006
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| Series: | Economic studies
151 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Göteborg, Univ., Diss., 2006. - Enth.: Market efficiency at the Nord Pool power exchange. Modeling and investigating the relationship between electricity prices and water reservoir content at the Nord Pool power exchange. Convenience yield behavior at the Nord Pool power exchange |
| Physical Description: | getr. Zähl. |
| ISBN: | 9185169102 9789185169108 |
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| adam_text | Table of Contents
Acknowledgements
Introduction i
Summary of the essays v
References xii
Essay I: Market efficiency at the Nord Pool power exchange.
Abstract I.I
1. Introduction 1.2
2. Theoretical framework 1.5
3. Data, econometric methodology and empirical results I.I 1
3.1 Data 1.11
3.2 Descriptive data statistical analysis 1.12
3.3 Non stationarity / stationarity test 1.13
3.4 Cointegration test 1.17
3.4.1 Bierens nonparametric cointegration test 1.19
3.4.2 Phillips Ouliaris residual based cointegration test 1.20
3.4.3 Phillips Hansen fully modified ordinary least square
test of cointegration 1.20
3.5 Market efficiency testing using the Phillips Loretan (1991)
procedure 1.21
4. Summary and conclusion 1.22
References 1.25
Appendix: Statistics and empirical results 1.28
Essay II: Modeling and investigating the relationship between electricity
prices and water reservoir content at the Nord Pool power exchange.
Abstract II. 1
1. Introduction II.2
2. The Nord Pool power exchange II.6
3. Theoretical framework II.6
3.1 The nonlinear relationship between futures/forward prices and
inventory II.6
3.2 The nonlinear relationship between futures prices and water
reservoir content — a demonstration II. 13
3.3 Setting up testable hypotheses II. 13
4. Data and the statistical properties of the variables II. 16
5. Methodologies and empirical results 11.18
5.1 Methodology for detecting nonlinear dependence and empirical
results 11.18
5.2 Methodology for discriminating between different types of
nonlinearities and empirical results II.21
5.3 Methodology for linear Granger causality and empirical results 11.23
5.4 Methodology for nonlinear Granger causality and empirical
results 11.26
5.5 Methodology for adjusting volatility persistence and empirical
results for both linear and nonlinear causality testing 11.28
6. Summary and conclusion II.31
References 11.34
Appendix: Statistics and empirical results 11.37
Essay III: Convenience yield behavior at the Nord Pool power exchange.
Abstract III. 1
1. Introduction III.2
2. Theory and hypotheses III.4
3. Data, convenience yield calculation and data statistical analysis III.9
4. Empirical results III. 10
5. Summary and conclusion III. 12
References III. 14
Appendix: Statistics and empirical results III. 16
|
| adam_txt |
Table of Contents
Acknowledgements
Introduction i
Summary of the essays v
References xii
Essay I: Market efficiency at the Nord Pool power exchange.
Abstract I.I
1. Introduction 1.2
2. Theoretical framework 1.5
3. Data, econometric methodology and empirical results I.I 1
3.1 Data 1.11
3.2 Descriptive data statistical analysis 1.12
3.3 Non stationarity / stationarity test 1.13
3.4 Cointegration test 1.17
3.4.1 Bierens nonparametric cointegration test 1.19
3.4.2 Phillips Ouliaris residual based cointegration test 1.20
3.4.3 Phillips Hansen fully modified ordinary least square
test of cointegration 1.20
3.5 Market efficiency testing using the Phillips Loretan (1991)
procedure 1.21
4. Summary and conclusion 1.22
References 1.25
Appendix: Statistics and empirical results 1.28
Essay II: Modeling and investigating the relationship between electricity
prices and water reservoir content at the Nord Pool power exchange.
Abstract II. 1
1. Introduction II.2
2. The Nord Pool power exchange II.6
3. Theoretical framework II.6
3.1 The nonlinear relationship between futures/forward prices and
inventory II.6
3.2 The nonlinear relationship between futures prices and water
reservoir content — a demonstration II. 13
3.3 Setting up testable hypotheses II. 13
4. Data and the statistical properties of the variables II. 16
5. Methodologies and empirical results 11.18
5.1 Methodology for detecting nonlinear dependence and empirical
results 11.18
5.2 Methodology for discriminating between different types of
nonlinearities and empirical results II.21
5.3 Methodology for linear Granger causality and empirical results 11.23
5.4 Methodology for nonlinear Granger causality and empirical
results 11.26
5.5 Methodology for adjusting volatility persistence and empirical
results for both linear and nonlinear causality testing 11.28
6. Summary and conclusion II.31
References 11.34
Appendix: Statistics and empirical results 11.37
Essay III: Convenience yield behavior at the Nord Pool power exchange.
Abstract III. 1
1. Introduction III.2
2. Theory and hypotheses III.4
3. Data, convenience yield calculation and data statistical analysis III.9
4. Empirical results III. 10
5. Summary and conclusion III. 12
References III. 14
Appendix: Statistics and empirical results III. 16 |
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| spelling | Deng, Daniel Verfasser aut Three essays on electricity spot and financial derivative prices at the nordic power exchange Daniel Deng 2006 getr. Zähl. txt rdacontent n rdamedia nc rdacarrier Economic studies 151 Göteborg, Univ., Diss., 2006. - Enth.: Market efficiency at the Nord Pool power exchange. Modeling and investigating the relationship between electricity prices and water reservoir content at the Nord Pool power exchange. Convenience yield behavior at the Nord Pool power exchange Nordic Power Exchange Electric utilities Economic aspects Scandinavia Electricity Prices Scandinavia Skandinavien (DE-588)4113937-9 Hochschulschrift gnd-content Economic studies 151 (DE-604)BV017643044 151 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014822412&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Deng, Daniel Three essays on electricity spot and financial derivative prices at the nordic power exchange Economic studies Nordic Power Exchange Electric utilities Economic aspects Scandinavia Electricity Prices Scandinavia |
| subject_GND | (DE-588)4113937-9 |
| title | Three essays on electricity spot and financial derivative prices at the nordic power exchange |
| title_auth | Three essays on electricity spot and financial derivative prices at the nordic power exchange |
| title_exact_search | Three essays on electricity spot and financial derivative prices at the nordic power exchange |
| title_exact_search_txtP | Three essays on electricity spot and financial derivative prices at the nordic power exchange |
| title_full | Three essays on electricity spot and financial derivative prices at the nordic power exchange Daniel Deng |
| title_fullStr | Three essays on electricity spot and financial derivative prices at the nordic power exchange Daniel Deng |
| title_full_unstemmed | Three essays on electricity spot and financial derivative prices at the nordic power exchange Daniel Deng |
| title_short | Three essays on electricity spot and financial derivative prices at the nordic power exchange |
| title_sort | three essays on electricity spot and financial derivative prices at the nordic power exchange |
| topic | Nordic Power Exchange Electric utilities Economic aspects Scandinavia Electricity Prices Scandinavia |
| topic_facet | Nordic Power Exchange Electric utilities Economic aspects Scandinavia Electricity Prices Scandinavia Skandinavien Hochschulschrift |
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