Cristin-prosjekt-ID: 353926
Sist endret: 12. desember 2014 12:43
Cristin-prosjekt-ID: 353926
Sist endret: 12. desember 2014 12:43
Prosjekt

ELCARBONRISK

prosjektleder

Sjur Westgaard
ved Institutt for industriell økonomi og teknologiledelse ved Norges teknisk-naturvitenskapelige universitet

prosjekteier / koordinerende forskningsansvarlig enhet

  • Institutt for industriell økonomi og teknologiledelse ved Norges teknisk-naturvitenskapelige universitet

Finansiering

  • Egen institusjon

  • Norges forskningsråd

  • Næringsliv

Klassifisering

Emneord

Risikostyring • Carbonmarkeder • Carbon Finance • Elektrisitetsmarkeder • Energiøkonomisering

Tidsramme

Avsluttet
Start: 1. september 2010 Slutt: 31. august 2014

Beskrivelse Beskrivelse

Tittel

ELCARBONRISK

Vitenskapelig sammendrag

The point of departure is the challenges that are considered relevant for risk measurement and hedging in energy spot and derivative markets, and how CO2 contract prices affect the risk of these energy commodity contracts. The main focus is corporate risk management from the electric utility perspective. The research program sets out to define, estimate, forecast and simulate relevant risk measures for corporations participating in the European energy markets including the European carbon market.The program has following main tasks: (1) to develop (econometric) models for both individual risk (e.g. a given electricity or carbon future contract as well as procedures for risk aggregations between markets (e.g. a portfolio of electricity, carbon contracts, gas, coal, oil) and at a corporate level with less than fully diversified ownerships (the total risk for the power company, with other financial and real assets are included); (2) analyses of market efficiency and developing trading models with efficient riskreward characteristics. Consider ways to combine subjective information with historical data in the models will also be a part of the 2 tasks above; and (3) contribute to understanding of, and enabling improved practicesregarding, operational and business processes in market-related functions in electricity companies; (4) qualifying research of three Ph.D. students including developing Ph.D. courses; (5) education and research training of market participants; and finally (6) strengthened the contacts and research network nationally and internationally.The 4-year study is a co-operation between Department of Industrial Economics and Technology Management at Norwegian University of Science and Technology, Molde University College and Lillehammer University College, in addition to Eidsiva Energi and Tafjord Kraft. We will also co-operate internationally with the London Business School, Universityof Maastricht and Lancaster University.

Metode

The research methods we shall employ are fundamentally quantitative. Of course, qualitative discussions are always necessary to complement and complete the analyses. We shall use stateof-the-art time series econometric approaches on daily and intra-day data. Univariate and multivariate GARCH methods will be used, as well as stochastic volatility models. Further, we shall use non-parametric measures, test statistics, dynamic time series regression and structuraltime series models using Kalman filters. The G@RCH module (see Laurent (2007)) in OxmetricsTM will be applied which is the leading software for GARCH models, stochastic volatility models, as well as non-parametric volatility models. We shall also use the STAMPTM module (see Koopman et al. (2006)) in OxmetricsTM and GAUSSTM software in the project. Daily data and intra-day data will be utilised. In our research we shall concentrate on markets in Scandinavia, UK and Continental Europe:. The data will involve spot, future and other derivative data for electricity, gas, coal, oil and CO2. In addition, we shall also include intra-day data on volume, bid-ask spreads and other microstructure information. We shall include dailyinformation on weather, net-tie flows, consumption and other fundamental determinants of energy prices, as well as seasonal dummies for weekdays and months.

prosjektdeltakere

prosjektleder

Sjur Westgaard

  • Tilknyttet:
    Prosjektleder
    ved Institutt for industriell økonomi og teknologiledelse ved Norges teknisk-naturvitenskapelige universitet

Gudbrand Lien

  • Tilknyttet:
    Prosjektdeltaker
    ved Høgskolen i Innlandet
Aktiv cristin-person

Per Bjarte Solibakke

  • Tilknyttet:
    Prosjektdeltaker
    ved Avdeling for økonomi og samfunnsvitenskap ved Høgskolen i Molde - Vitenskapelig høgskole i logistikk

Stein-Erik Fleten

  • Tilknyttet:
    Prosjektdeltaker
    ved Institutt for industriell økonomi og teknologiledelse ved Norges teknisk-naturvitenskapelige universitet
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Resultater Resultater

Scientific stochastic volatility models for the european carbon markets : Forecasting and extracting conditional moments.

Solibakke, Per Bjarte. 2014, International journal of business. HIMVitenskapelig artikkel

Kinesisk kullimport og norsk gassproduksjon/-eksport gir CO2-utslipp reduksjoner tilsvarende 7-8 norske komplette bilparker.

Solibakke, Per Bjarte. 2013, Samfunnsøkonomen. HIMVitenskapelig artikkel

Forecasting carbon phase II moments for option pricing and risk management applications using stochastic volatility models.

Solibakke, Per Bjarte. 2012, 9th International Conference on the Europen Energy Markets : EEM12. HIMVitenskapelig foredrag

Forecasting Carbon Phase II Moments for Option Pricing and Risk Management Applications using Stochastic Volatility Models.

Solibakke, Per Bjarte. 2012, International Research Journal of Applied Finance. HIMPopulærvitenskapelig artikkel

Realized volatility and the influence of market measures on predictability : an analysis of Nord Pool forward electricity data.

Haugom, Erik; Westgaard, Sjur; Solibakke, Per Bjarte; Lien, Gudbrand. 2011, Energy Economics. HINN, NTNU, HIMVitenskapelig artikkel
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