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)
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Cayón Fallon, Edgardobe27db6c-c045-4b3d-983d-c71aa93d1fe8600Sarmiento Sabogal, Julio Alejandroc31ea8e4-9874-40e0-bf5e-f20c33c9c2a7600Cayón Fallon, Edgardo [0000-0002-4113-5521]Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]Cayón Fallon, Edgardo [56395390800]Sarmiento Sabogal, Julio Alejandro [57196465468]2023-06-21T22:22:57Z2023-06-21T22:22:57Z2022-09-22http://hdl.handle.net/10726/5033instname:Colegio de Estudios Superiores de Administración – CESAreponame:Biblioteca Digital – CESArepourl:https://repository.cesa.edu.co/1996-1073https://doi.org/10.3390/en15196930engMDPI AGThe Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returnsarticlehttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articlehttp://purl.org/redcol/resource_type/ARThttp://purl.org/coar/version/c_71e4c1898caa6e32info:eu-repo/semantics/openAccessAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2This 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 when modeling Colombian electricity price returns. We found that coskewness as an augmentation factor is highly significant and should be considered when modeling Colombian electricity price returns. The results obtained for coskewness as an augmentation factor in a volume model are consistent when using either an Ordinary Least Square (OLS) and Generalized Method of Moments (GMM) specification for the data employed. On the other hand, the effect of cokurtosis is highly irrelevant and not significant in most cases under the proposed specification.https://orcid.org/0000-0002-4113-5521https://orcid.org/0000-0001-5986-4813https://www.scopus.com/authid/detail.uri?authorId=56395390800https://www.scopus.com/authid/detail.uri?authorId=571964654681519EnergiesElectricity marketsAsset pricingHigher moments10726/5033oai:repository.cesa.edu.co:10726/50332023-10-02 20:33:18.713metadata only accessBiblioteca Digital - CESAbiblioteca@cesa.edu.co |
dc.title.eng.fl_str_mv |
The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns |
title |
The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns |
spellingShingle |
The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns Electricity markets Asset pricing Higher moments |
title_short |
The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns |
title_full |
The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns |
title_fullStr |
The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns |
title_full_unstemmed |
The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns |
title_sort |
The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns |
dc.creator.fl_str_mv |
Cayón Fallon, Edgardo Sarmiento Sabogal, Julio Alejandro |
dc.contributor.author.spa.fl_str_mv |
Cayón Fallon, Edgardo Sarmiento Sabogal, Julio Alejandro |
dc.contributor.orcid.none.fl_str_mv |
Cayón Fallon, Edgardo [0000-0002-4113-5521] Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813] |
dc.contributor.scopus.none.fl_str_mv |
Cayón Fallon, Edgardo [56395390800] Sarmiento Sabogal, Julio Alejandro [57196465468] |
dc.subject.proposal.none.fl_str_mv |
Electricity markets Asset pricing Higher moments |
topic |
Electricity markets Asset pricing Higher moments |
description |
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 when modeling Colombian electricity price returns. We found that coskewness as an augmentation factor is highly significant and should be considered when modeling Colombian electricity price returns. The results obtained for coskewness as an augmentation factor in a volume model are consistent when using either an Ordinary Least Square (OLS) and Generalized Method of Moments (GMM) specification for the data employed. On the other hand, the effect of cokurtosis is highly irrelevant and not significant in most cases under the proposed specification. |
publishDate |
2022 |
dc.date.issued.none.fl_str_mv |
2022-09-22 |
dc.date.accessioned.none.fl_str_mv |
2023-06-21T22:22:57Z |
dc.date.available.none.fl_str_mv |
2023-06-21T22:22:57Z |
dc.type.none.fl_str_mv |
article |
dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_6501 |
dc.type.coar.none.fl_str_mv |
http://purl.org/coar/resource_type/c_2df8fbb1 |
dc.type.driver.none.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.redcol.none.fl_str_mv |
http://purl.org/redcol/resource_type/ART |
dc.type.coarversion.none.fl_str_mv |
http://purl.org/coar/version/c_71e4c1898caa6e32 |
format |
http://purl.org/coar/resource_type/c_2df8fbb1 |
dc.identifier.uri.none.fl_str_mv |
http://hdl.handle.net/10726/5033 |
dc.identifier.instname.none.fl_str_mv |
instname:Colegio de Estudios Superiores de Administración – CESA |
dc.identifier.reponame.none.fl_str_mv |
reponame:Biblioteca Digital – CESA |
dc.identifier.repourl.none.fl_str_mv |
repourl:https://repository.cesa.edu.co/ |
dc.identifier.eissn.none.fl_str_mv |
1996-1073 |
dc.identifier.doi.none.fl_str_mv |
https://doi.org/10.3390/en15196930 |
url |
http://hdl.handle.net/10726/5033 https://doi.org/10.3390/en15196930 |
identifier_str_mv |
instname:Colegio de Estudios Superiores de Administración – CESA reponame:Biblioteca Digital – CESA repourl:https://repository.cesa.edu.co/ 1996-1073 |
dc.language.iso.none.fl_str_mv |
eng |
language |
eng |
dc.relation.citationvolume.none.fl_str_mv |
15 |
dc.relation.citationissue.none.fl_str_mv |
19 |
dc.relation.ispartofjournal.none.fl_str_mv |
Energies |
dc.rights.accessrights.none.fl_str_mv |
info:eu-repo/semantics/openAccess |
dc.rights.local.none.fl_str_mv |
Abierto (Texto Completo) |
dc.rights.coar.none.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
eu_rights_str_mv |
openAccess |
rights_invalid_str_mv |
Abierto (Texto Completo) http://purl.org/coar/access_right/c_abf2 |
dc.publisher.none.fl_str_mv |
MDPI AG |
publisher.none.fl_str_mv |
MDPI AG |
institution |
Colegio de Estudios Superiores de Administración |
repository.name.fl_str_mv |
Biblioteca Digital - CESA |
repository.mail.fl_str_mv |
biblioteca@cesa.edu.co |
_version_ |
1793339945419538432 |