Hedging Electricity Price Volatility Applying Seasonal and Trend Decomposition

Ramírez-García, Alfredo; Saucedo, Eduardo

DSpace Principal
→
Colección de los Centros Asociados
→
México
→
División de Ciencias Sociales y Humanidades - DCSH/UAM-A - Cosecha
→
Ver ítem

dc.creator	Ramírez-García, Alfredo
dc.creator	Saucedo, Eduardo
dc.date	2022
dc.date.accessioned	2023-03-16T20:28:25Z
dc.date.available	2023-03-16T20:28:25Z
dc.identifier	0185-3937
dc.identifier	https://www.redalyc.org/articulo.oa?id=41370350009
dc.identifier.uri	https://biblioteca-repositorio.clacso.edu.ar/handle/CLACSO/196818
dc.description	"The Wholesale Electricity Market (MEM) has allowed participants to trade electricity at Local Marginal Price (LMP); therefore, developing hedging models to face high volatility electricity prices and avoid financial losses has become essential. This work proposes a methodology based on the Seasonal and Trend Decomposition Model (STL) to the LMP returns series, which is fitted into NIG distribution by obtaining empirical NIG parameters from LMP returns using Maximum Likelihood Estimation (MLE) to generate a simulated NIG distributed series. Finally, the goodness-of-fit test is estimated to demonstrate that empirical data can be fitted into NIG Distribution. This work should be considered the first Electricity Hedging Valuation Methodology for the MEM. Results obtained show that electricity price returns can be fitted and simulated by NIG distribution even through economic crisis periods. The analysis period is from 29/01/2016 to 09/07/2021."
dc.format	application/pdf
dc.language	en
dc.publisher	Universidad Autónoma Metropolitana
dc.relation	http://www.redalyc.org/revista.oa?id=413
dc.rights	Análisis Económico
dc.source	Análisis Económico (México) Num.94 Vol.XXXVII
dc.subject	Economía y Finanzas
dc.subject	C15
dc.subject	Q47
dc.subject	P18
dc.subject	O13
dc.subject	G10
dc.title	Hedging Electricity Price Volatility Applying Seasonal and Trend Decomposition
dc.type	artículo científico