Econometric analysis of Australian emissions markets and electricity prices

Econometric Models for the Analysis of Electricity Markets

Prices And Portfolio Choices In Financial Markets: Econometric Evidence

Structural econometrics is developed to test an extension of standard general equilibrium theory that was suggested in [2] as explanation for why in experiments securities prices tend to the predictions of general equilibrium theory but allocations do not. The test’s asymptotic properties are derived as one increases the number of subjects (relatively large in the experiments at hand), keeping ...

Emissions trading : Impact on electricity prices and energy - intensive industries

Discrete decisions, plants revenues and prices in electricity markets

Instituto de Investigación Tecnológica (IIT) Universidad Pontificia Comillas-Madrid Abstract In power systems models, there are some variables of discrete nature, such as those modeling the state of the power units, started up or stopped. As a result, the marginal cost of operation is, in general, insufficient to pay the costs associated with these variables (eg, start up cost). Therefore, even...

An econometric analysis of emission allowance prices

Knowledge of the statistical distribution of the prices of emission allowances, and their forecastability, are crucial in constructing, among other things, purchasing and risk management strategies in the emissions-constrained markets. This paper analyzes the two emission permits markets, CO2 in Europe, and SO2 in the US, and investigates a model for dealing with the unique stylized facts of th...