1,720,976 research outputs found
Higher moments in the fundamental specification of electricity forward prices
Full text linkAn extended specification for estimating the risk premia necessary for the forward pricing of wholesale electricity is developed in order to respond to the increasing need for more precise risk management of hedging positions in practice. Using Taylor expansions, we provide new specifications for the electricity forward premium including its dependency on all four moments of the expected wholesale price density as well as the higher moments of the demand density including skewness and kurtosis. Overall we argue that previous models have been underspecified and that the extended formulation proposed in this analysis is robust and worthwhile
The connectedness features of German electricity futures over short and long maturities
Full text linkThis research provides an extensive characterization of the contagion between electricity, energy commodities, financial assets and economic indicators across several maturities. Despite the widespread importance of electricity futures, this has been an under-researched topic. The evolution of connectedness is investigated between 2006 and 2023. With a special focus on electricity forward base and peak contracts, results show that the contagion effects are moderate but evolve through time, with greater impacts observed during the crisis years. We confirm that electricity forward prices are more sensitive to operators' future expectations on fundamental market conditions than to financial and economic shocks
Measuring model risk in the European energy exchange
No full textIt has been shown that model risk has an important effect on any risk measurement procedures, hence its proper quantification is becoming crucial especially in energy markets, where market participants face several kinds of risks (such as volumetric, liquidity, and operational risk). Therefore, relaxing the assumption of normality and using a wide range of alternative distributions, we quantify the model risk in the German wholesale electricity market (the European Energy Exchange, EEX) by studying day–ahead electricity prices from 2001 to 2013 using the well-established setting of GARCH–type models. Taking advantage of this long price history, we investigate the “time evolution” of the measured model risk across years by adopting a rolling window procedure. Our results confirm that the increasing complexity of energy markets has affected the stochastic nature of electricity prices which have become progressively less normal through years, hence resulting in an increased model risk
A worldwide analysis of the energy regulatory tasks and activities through the lenses of entropy and unsupervised statistical learning
Full text linkThis paper provides an overview of tasks and activities of world energy regulatory authorities, through their regional associations. Regulatory practices are investigated when looking at federal, state and national authorities’ replies to two surveys on electricity and gas markets. Empirical results show that the implementation of the energy regulation can be context-specific. Indeed, regulators’ powers and tools show diversity, even among groups of regulators belonging to the same regional associations and then expected to act homogeneously. To inspect the similarity across regulators, a statistical index and an unsupervised statistical learning technique are proposed. The usage of these two methods is recommended to inspect the status of the regulatory harmonization, and to inspect if uniformed and coordinated energy policy actions are achieved in view of global resolutions towards a low carbon transition, and delineated environmental and sustainable goals
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Full text linkWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
Dispelling the Myths Behind First-author Citation Counts
Full text linkWe conducted a full-scale evaluative citation analysis study of scholars in the XML research field to explore just how different from each other author rankings resulting from different citation counting methods actually are, and to demonstrate the capability of emerging data and tools on the Web in supporting more realistic citation counting methods. Our results contest some common arguments for the continued
use of first-author citation counts in the evaluation of scholars, such as high correlations between author rankings by first-author citation counts and other citation
counting methods, and high costs of using more realistic citation counting methods that are not well-supported by the ISI databases. It is argued that increasingly available digital full text research papers make it possible for citation analysis studies to go beyond what the ISI databases have directly supported and to employ more
sophisticated methods
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