Structural Breaks, Increasing Volatility and Efficiency Loss

Name: Structural Breaks, Increasing Volatility and Efficiency Loss
Brand: LAP Lambert Academic Publishing
SKU: 9783659588112
Price: 47.39 EUR
Availability: InStock

In the Nordic Electricity Market: Will the Market Survive the Financial Crisis?

Autor: Livingstone Senyonga

Jazyk:

Väzba: Brožovaná

Vydavateľ: LAP Lambert Academic Publishing

Dostupnosť: Skladom u dodávateľa

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47.39 €

This study seeks to find out whether there are signs of stress in the Nordic electricity market duri...

Informácie o knihe

Autor

Livingstone Senyonga

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2018

Stránok

EAN

9783659588112

Enbook ID

20227702

Vydavateľ

LAP Lambert Academic Publishing

Hmotnosť

155

Rozmery

150 x 220 x 6

Kompletný popis

This study seeks to find out whether there are signs of stress in the Nordic electricity market during the financial crisis period. We use an ARIMAX specification to investigate structural breaks in series of electricity spot price and prices of forward contracts obtained from Nord Pool. Using recursive estimation of Quandt Likelihood Ratio F-statistics we date significant structural breaks in the spot price and long term contract prices but insignificant in prices of short term contracts and electricity consumption series. Dummy variable estimation shows that weather changes are more important for structural breaks in spot price while economic variables are responsible for breaks in contract prices. Using a Generalized Autoregressive Conditional Heteroskedasticity model and volatility clustering graphs, we identify significant increases of volatility in the spot price and long term contract prices but insignificant in short to medium term prices of contracts. Lastly, we use prices of weekly futures contracts and system prices at the purchase and delivery of the contracts to test whether Efficiency Market Hypothesis holds in the Nordic electricity market.

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Structural Breaks, Increasing Volatility and Efficiency Loss

In the Nordic Electricity Market: Will the Market Survive the Financial Crisis?

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