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...

Full description

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)
id CESA2_70b52ed5e42ccee923d7a450084abc9a
oai_identifier_str oai:repository.cesa.edu.co:10726/5033
network_acronym_str CESA2
network_name_str Repositorio CESA
repository_id_str
spelling 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