Search results for: semivariances

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semivariances</title> <meta name="description" content="Search results for: semivariances"> <meta name="keywords" content="semivariances"> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research Excellence" title="Open Science Research Excellence" /> </a> <button class="d-block d-lg-none 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action="https://publications.waset.org/abstracts/search"> <div id="custom-search-input"> <div class="input-group"> <i class="fas fa-search"></i> <input type="text" class="search-query" name="q" placeholder="Author, Title, Abstract, Keywords" value="semivariances"> <input type="submit" class="btn_search" value="Search"> </div> </div> </form> </div> </div> <div class="row mt-3"> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Commenced</strong> in January 2007</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Frequency:</strong> Monthly</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Edition:</strong> International</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Paper Count:</strong> 1</div> </div> </div> </div> <h1 class="mt-3 mb-3 text-center" style="font-size:1.6rem;">Search results for: semivariances</h1> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1</span> Risk Propagation in Electricity Markets: Measuring the Asymmetric Transmission of Downside and Upside Risks in Energy Prices</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Montserrat%20Guillen">Montserrat Guillen</a>, <a href="https://publications.waset.org/abstracts/search?q=Stephania%20Mosquera-Lopez"> Stephania Mosquera-Lopez</a>, <a href="https://publications.waset.org/abstracts/search?q=Jorge%20Uribe"> Jorge Uribe</a> </p> <p class="card-text"><strong>Abstract:</strong></p> An empirical study of market risk transmission between electricity prices in the Nord Pool interconnected market is done. Crucially, it is differentiated between risk propagation in the two tails of the price variation distribution. Thus, the downside risk from upside risk spillovers is distinguished. The results found document an asymmetric nature of risk and risk propagation in the two tails of the electricity price log variations. Risk spillovers following price increments in the market are transmitted to a larger extent than those after price reductions. Also, asymmetries related to both, the size of the transaction area and related to whether a given area behaves as a net-exporter or net-importer of electricity, are documented. For instance, on the one hand, the bigger the area of the transaction, the smaller the size of the volatility shocks that it receives. On the other hand, exporters of electricity, alongside countries with a significant dependence on renewable sources, tend to be net-transmitters of volatility to the rest of the system. Additionally, insights on the predictive power of positive and negative semivariances for future market volatility are provided. It is shown that depending on the forecasting horizon, downside and upside shocks to the market are featured by a distinctive persistence, and that upside volatility impacts more on net-importers of electricity, while the opposite holds for net-exporters. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=electricity%20prices" title="electricity prices">electricity prices</a>, <a href="https://publications.waset.org/abstracts/search?q=realized%20volatility" title=" realized volatility"> realized volatility</a>, <a href="https://publications.waset.org/abstracts/search?q=semivariances" title=" semivariances"> semivariances</a>, <a href="https://publications.waset.org/abstracts/search?q=volatility%20spillovers" title=" volatility spillovers"> volatility spillovers</a> </p> <a href="https://publications.waset.org/abstracts/98350/risk-propagation-in-electricity-markets-measuring-the-asymmetric-transmission-of-downside-and-upside-risks-in-energy-prices" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/98350.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">175</span> </span> </div> </div> </div> </main> <footer> <div id="infolinks" class="pt-3 pb-2"> <div class="container"> <div style="background-color:#f5f5f5;" class="p-3"> <div class="row"> <div class="col-md-2"> <ul class="list-unstyled"> About <li><a href="https://waset.org/page/support">About Us</a></li> <li><a href="https://waset.org/page/support#legal-information">Legal</a></li> <li><a target="_blank" rel="nofollow" href="https://publications.waset.org/static/files/WASET-16th-foundational-anniversary.pdf">WASET celebrates its 16th foundational 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Search results for: semivariances