Sökning: "daniel deng"

Hittade 2 avhandlingar innehållade orden daniel deng.

1. 1. Essays on the Financial Aspects of Power Prices at the Nord Pool Power Exchange

   Författare :Daniel Deng; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; EGARCH; convenience yield; call option;

   Sammanfattning : 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 a hydropower inventory therefore plays an important role in the pricing of electricity. LÄS MER

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

   Författare :Daniel Deng; Göteborgs universitet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nord Pool; market efficiency; cointegration; rational expectation competitive storage model; BDS test; Hsiehâ??s third order moment test; nonlinear causality; EGARCH; convenience yield; call option;

   Sammanfattning : 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. LÄS MER