Search for dissertations about: "rational expectation competitive storage model"

Found 1 swedish dissertation containing the words rational expectation competitive storage model.

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

   Author : Daniel Deng; Göteborgs universitet; []
   Keywords : 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;

   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. READ MORE