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

Cayón Fallon, Edgardo; Sarmiento Sabogal, Julio Alejandro

doi:https://doi.org/10.3390/en15196930

dc.contributor.author	Cayón Fallon, Edgardo	spa
dc.contributor.author	Sarmiento Sabogal, Julio Alejandro	spa
dc.date.accessioned	2023-06-21T22:22:57Z
dc.date.available	2023-06-21T22:22:57Z
dc.date.issued	2022-09-22
dc.identifier.uri	http://hdl.handle.net/10726/5033
dc.language.iso	eng
dc.publisher	MDPI AG
dc.title	The Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returns	eng
dc.type	article
dc.rights.accessrights	info:eu-repo/semantics/openAccess
dc.rights.local	Abierto (Texto Completo)
dc.type.version	info:eu-repo/semantics/acceptedVersion
dc.identifier.instname	instname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponame	reponame:Biblioteca Digital – CESA
dc.identifier.repourl	repourl:https://repository.cesa.edu.co/
dc.description.abstractenglish	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.	eng
dc.type.coar	http://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume	15
dc.relation.citationissue	19
dc.contributor.orcid	Cayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.orcid	Sarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.type.driver	info:eu-repo/semantics/article
dc.type.redcol	http://purl.org/redcol/resource_type/ART
dc.type.coarversion	http://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopus	Cayón Fallon, Edgardo [56395390800]
dc.contributor.scopus	Sarmiento Sabogal, Julio Alejandro [57196465468]
dc.description.orcid	https://orcid.org/0000-0002-4113-5521
dc.description.orcid	https://orcid.org/0000-0001-5986-4813
dc.description.scopus	https://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.description.scopus	https://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.identifier.eissn	1996-1073
dc.relation.ispartofjournal	Energies
dc.identifier.doi	https://doi.org/10.3390/en15196930
dc.subject.proposal	Electricity markets
dc.subject.proposal	Asset pricing
dc.subject.proposal	Higher moments
dc.rights.coar	http://purl.org/coar/access_right/c_abf2

Ficheros en el ítem

Ficheros	Tamaño	Formato	Ver
No hay ficheros asociados a este ítem.

Este ítem aparece en la(s) siguiente(s) colección(ones)

Artículos y borradores de administración – Working papers [198]

Mostrar el registro sencillo del ítem