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

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dc.contributor.authorCayón Fallon, Edgardospa
dc.contributor.authorSarmiento Sabogal, Julio Alejandrospa
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.contributor.orcidSarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.contributor.scopusSarmiento Sabogal, Julio Alejandro [57196465468]
dc.date.accessioned2023-06-21T22:22:57Z
dc.date.available2023-06-21T22:22:57Z
dc.date.issued2022-09-22
dc.description.abstractenglishThis 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.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.orcidhttps://orcid.org/0000-0001-5986-4813
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.identifier.doihttps://doi.org/10.3390/en15196930
dc.identifier.eissn1996-1073
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.identifier.urihttp://hdl.handle.net/10726/5033
dc.language.isoeng
dc.publisherMDPI AG
dc.relation.citationissue19
dc.relation.citationvolume15
dc.relation.ispartofjournalEnergies
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.coarhttp://purl.org/coar/access_right/c_abf2
dc.rights.localAbierto (Texto Completo)
dc.subject.proposalElectricity markets
dc.subject.proposalAsset pricing
dc.subject.proposalHigher moments
dc.titleThe Impact of coskewness and cokurtosis as augmentation factors in modeling colombian electricity price returnseng
dc.typearticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.versioninfo:eu-repo/semantics/acceptedVersion

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