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The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns

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Fecha
2022-09-22
Autor
Cayón Fallon, Edgardo
Sarmiento Sabogal, Julio Alejandro

Citación

       
TY - GEN T1 - The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns UR - http://hdl.handle.net/10726/5033 PB - MDPI AG AB - ER - @misc{10726_5033, author = {Cayón Fallon Edgardo and Sarmiento Sabogal Julio Alejandro}, title = {The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns}, language = {eng}, orcid = {Cayón Fallon, Edgardo [0000-0002-4113-5521]}, orcid = {Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]}, scopus = {Cayón Fallon, Edgardo [56395390800]}, scopus = {Sarmiento Sabogal, Julio Alejandro [57196465468]}, year1 = {2023-06-21T22:22:57Z}, year2 = {2023-06-21T22:22:57Z}, abstract2 = {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.}, instname = {instname:Colegio de Estudios Superiores de Administración – CESA}, reponame = {reponame:Biblioteca Digital – CESA}, typedrive = {info:eu-repo/semantics/article}, url = {http://hdl.handle.net/10726/5033} }RT Generic T1 The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns LK http://hdl.handle.net/10726/5033 PB MDPI AG AB OL Spanish (121)
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Resumen
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.
DOI
https://doi.org/10.3390/en15196930
URI
http://hdl.handle.net/10726/5033
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