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Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange


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Title: Three Essays on Electricity Spot and Financial Derivative Prices at the Nordic Power Exchange
Authors: Deng, Daniel
Issue Date: 2006
University: Göteborg University. School of Business, Economics and Law
Extent: 137 pages
659787 bytes
Date of Defence: 2006-04-28
Publication type: Doctoral thesis
Series/Report no.: Economic Studies, nr 151
Keywords: Nord Pool
market efficiency
cointegration
rational expectation competitive storage model
BDS test
Hsieh’s third order moment test
nonlinear causality
EGARCH
convenience yield
call option
Abstract: Essay I examines the market efficiency issues at the Nord Pool power exchange in the September 1995 – July 2002 period. A unique characteristic of this electricity exchange is the high hydropower proportion in the traded electricity; water in the hydro reservoir acting as hydropower inventory therefore plays an important role in the pricing of electricity. Inventory holding and the seasonality of both the supply and demand of hydropower generate inter- and intra-year autocorrelation in power pri... more
ISBN: 91-85169-10-2
ISSN: 1651-4289 (print) 1651-4297 (online)
URI: http://hdl.handle.net/2077/2912
Appears in Collections:Doctoral Theses / Doktorsavhandlingar Institutionen för nationalekonomi med statistik
Doctoral Theses from University of Gothenburg / Doktorsavhandlingar från Göteborgs universitet

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