1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/22727
DC FieldValueLanguage
dc.contributor.authorIoannidis, Filippos-
dc.contributor.authorKosmidou, Kyriaki-
dc.contributor.authorSavva, Christos S.-
dc.contributor.authorTheodossiou, Panayiotis-
dc.date.accessioned2021-06-18T09:18:33Z-
dc.date.available2021-06-18T09:18:33Z-
dc.date.issued2021-03-01-
dc.identifier.citationEnergy Economics, 2021, vol. 95, articl. no. 105110en_US
dc.identifier.issn01409883-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/22727-
dc.description.abstractThis paper extends the investigation of the stochastic properties of electricity price growth rates beyond their first two conditional moments allowing for the impact of seasonality on their parameters. The main contributions include the breakdown of electricity price risk into its pure and skewness price components and the development of a risk neutral forecasting equation for electricity prices. Empirical results using ten-years of hourly wholesale prices from the Day-Ahead electricity market in Germany depict the presence of seasonality, strong mean reversion and up-to third degree time-varying moments.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofEnergy Economicsen_US
dc.rights© Elsevieren_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectRisk analysisen_US
dc.subjectAsymmetric volatilityen_US
dc.subjectPure and skewness price of risken_US
dc.subjectRisk neutral equilibrium electricity pricesen_US
dc.subjectSkewed generalized error distributionen_US
dc.titleElectricity pricing using a periodic GARCH model with conditional skewness and kurtosis componentsen_US
dc.typeArticleen_US
dc.collaborationAristotle University of Thessalonikien_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryGreeceen_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1016/j.eneco.2021.105110en_US
dc.identifier.scopus2-s2.0-85099988982-
dc.identifier.urlhttps://api.elsevier.com/content/abstract/scopus_id/85099988982-
dc.relation.volume95en_US
cut.common.academicyear2020-2021en_US
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.cerifentitytypePublications-
item.openairetypearticle-
crisitem.journal.journalissn0140-9883-
crisitem.journal.publisherElsevier-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.orcid0000-0001-5556-2594-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
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