The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns
This paper explores the empirical validity of an augmented volume model for Colombian electricity price returns (in the present study, the definition of returns is simply the “rate of change” of observed prices for different periods). Of particular interest is the impact of coskewness and cokurtosis...
- Autores:
-
Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2022
- Institución:
- Colegio de Estudios Superiores de Administración
- Repositorio:
- Repositorio CESA
- Idioma:
- eng
- OAI Identifier:
- oai:repository.cesa.edu.co:10726/5033
- Acceso en línea:
- http://hdl.handle.net/10726/5033
https://doi.org/10.3390/en15196930
- Palabra clave:
- Electricity markets
Asset pricing
Higher moments
- Rights
- openAccess
- License
- Abierto (Texto Completo)