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...

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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)