A test of the mixture of distributions models

In this paper a direct test of the mixture of distributions model is conducted using daily stock return and trading volume of the Spanish continuous stock market for the period April 1990 to January 1996. Both the standard mixture of distributions model of Tauchen and Pitts (1983) and the modified version proposed by Andersen (1996) are estimated by the Generalized Method of Moments and tested using the overidentified restrictions. The results of the tests show the rejection of the restrictions that the standard and modified models impose on the data, that is, the dynamics of the Spanish returns and volume are not directed by a common factor, namely the flow of information, according to the specifications of the mixture models considered

Economic Growth and Electricity Consumption in 12 European Countries: A Causality Analysis Using Panel Data

We apply recent panel methodology to investigate the relationship between electricity consumption and real GDP for a set of 12 European Union countries using annual data for the period 1970-2004. Recently developed tests for panel unit roots, cointegration in heterogeneous panels and panel causality are employed. The results show a long-run relationship between the series. We estimate this relationship and test for causality. We find no short-run causality in any direction. These results might help to design appropriate electricity consumption policies in the sample countries, as well as investment policies in interconnections to build a single European market for electricity.electricity consumption, economic growth, panel cointegration, panel causality

Independencia entre las cuestiones en el análisis factorial de tablas disyuntivas incompletas con preguntas condicionadas

El análisis de correspondencias múltiples (ACM) estudia la relación entre varias variables cualitativas definidas sobre una misma población. Sin embargo, una de las principales fuentes de información son las encuestas donde es frecuente encontrar cierto número de datos ausentes y de preguntas condicionadas. Escofier (Escofier 1981) propone analizar la tabla disyuntiva incompleta sustituyendo la marginal real de la tabla sobre los individuos por una marginal impuesta constante. El análisis de la tabla disyuntiva incompleta está asociado a unas tasas de inercia pequeñas que no deben ser interpretadas como partes de información explicada por los ejes. Se estudiará el caso en el cual las cuestiones son independientes dos a dos y se propondrá una corrección a estas tasas de inercia en el análisis con marginal modificada de una tabla disyuntiva incompleta

Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets

This paper models the mean and volatility spillovers of prices within the integrated Iberian and the interconnected Spanish and French electricity markets. Using the constant (CCC) and dynamic conditional correlation (DCC) bivariate models with three different specifications of the univariate variance processes, we study the extent to which increasing interconnection and harmonization in regulation have favoured price convergence. The data consist of daily prices calculated as the arithmetic mean of the hourly prices over a span from July 1st 2007 until February 29th 2012. The DCC model in which the variances of the univariate processes are specified with a VARMA(1,1) fits the data best for the integrated MIBEL whereas a CCC model with a GARCH(1,1) specification for the univariate variance processes is selected to model the price series in Spain and France. Results show that there are significant mean and volatility spillovers in the MIBEL, indicating strong interdependence between the two markets, while there is a weaker evidence of integration between the Spanish and French markets. We provide new evidence that the EU target of achieving a single electricity market largely depends on increasing trade between countries and homogeneous rules of market functioning

Economic Growth and Electricity Consumption in 12 European Countries: A Causality Analysis Using Panel Data

We apply recent panel methodology to investigate the relationship between electricity consumption and real GDP for a set of 12 European Union countries using annual data for the period 1970-2004. Recently developed tests for panel unit roots, cointegration in heterogeneous panels and panel causality are employed. The results show a long-run relationship between the series. We estimate this relationship and test for causality. We find no short-run causality in any direction. These results might help to design appropriate electricity consumption policies in the sample countries, as well as investment policies in interconnections to build a single European market for electricity.We acknowledge financial support from Ministerio de Educación y Ciencia under research grant SEJ2006-06309 and from Dpto. de Educación, Universidades e Investigación del Gobierno Vasco under research grant IT-313-07

Electricity consumption and economic growth: evidence from Spain

The paper investigates both linear and nonlinear causality between electricity consumption and economic growth in Spain for the period 1971-2005. We use the methodology of Toda and Yamamoto (1995) and Dolado and Lütkepohl (1996). We also apply the standard Granger causality tests in a VAR for the series in first differences to achieve stationarity. The results are similar with both methodologies, which shows their robustness. We find unidirectional linear causality running from real GDP to electricity consumption. On the contrary, we find no evidence of nonlinear Granger causality between the series in either direction.First author would like to acknowledge the financial support provided by Ministerio de Educación y Ciencia under research grant BEC2003-02084. Second author would like to acknowledge the financial support provided by Ministerio de Educación y Ciencia under research grant SEJ2004-04811

Time-Varying Beta Estimators in the Mexican Emerging Market

This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study is conducted using returns from the Mexican stock market grouped into six portfolios for the period 2003-2009. The comparison, based on asset pricing perspective and mean-variance space returns, concludes that GARCH based beta estimators outperform the others when the comparison is in terms of time series while the nonparametric estimator is more appropriate in the cross-sectional context.time-varying beta, nonparametric estimator, GARCH based beta estimator

Do jumps and cojumps matter for electricity price forecasting? Evidence from the German-Austrian day-ahead market

This paper analyzes the potential for including jumps and cojumps in electricity price forecasting models. The study is carried out on the German-Austrian day-ahead electricity market with a multivariate framework in which each hour of the day is treated as an individual time series. Three models are specified: The ARX model, the ARX-J model (which includes jumps), and the ARX-J-CJ model (which also includes cojumps). Prices are transformed using several variance stabilizing transformations. The forecasting performance of the three models with original and transformed prices is compared using several forecast horizons running from one day-ahead to one week-ahead. Results show that the forecast horizon is crucial in determining whether jumps and cojumps should be included in electricity price forecasting. Jumps and cojumps add important information to forecast prices for horizons longer than 4 days, but there is no gain in forecast accuracy for shorter horizons. The results are of interest to market participants for taking optimal decisions and pricing base week futures contracts.Financial support from Dpto. de Educación del Gobierno Vasco, Spain under research grant IT1336-19 and from Ministerio de Ciencia e Innovación, Spain under research grant PID2019-108718GB-I00 is acknowledged. Open access funding provided by the University of the Basque Country

A volatility spillover analysis with realized semi(co)variances in Australian electricity markets

[EN] Volatility spillovers are a characteristic of interconnected electricity markets. We use high-frequency prices to analyze the transmission of volatility across five Australian regional electricity markets. We propose several models: The first includes only realized variances; the second adds realized covariances; the last two include positive and negative realized semi(co)variances, separately, obtained from the decomposition of the realized covariance matrix into components based on the sign of the underlying returns. We carry out the analysis for both static and dynamic frameworks and relate the behavior of spillovers to major events and policies affecting the markets. Results show that ignoring covariances results in spillovers being underestimated and highlight the importance of the role of semi(co)variances in detecting asymmetric spillovers. Finally, we discuss implications for short-run market participants and long-term planning by regulators.The authors would like to thank two anonymous reviewers for valuable comments and suggestions that helped to improve the paper. Financial support from Ministerio de Ciencia e Innovacion under research grant PID2019-108718GB-I00 and from Dpto. de Educacion del Gobierno Vasco under research grant IT1336-19 is acknowledged. Evelyn Chanatasig thanks the University of the Basque Country, UPV/EHU, for financial aid under the trainee researcher program for Ph.D. students from Latin America. Open access funding provided by the University of the Basque Country

Time-Varying Beta Estimators in the Mexican Emerging Market

This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study is conducted using returns from the Mexican stock market grouped into six portfolios for the period 2003-2009. The comparison, based on asset pricing perspective and mean-variance space returns, concludes that GARCH based beta estimators outperform the others when the comparison is in terms of time series while the nonparametric estimator is more appropriate in the cross-sectional context.The authors acknowledge financial support from Ministerio de Ciencia e Innovación under research grants ECO2009-09120, ECO2008-00777/ECON, ECO2008-02599 and ECO2011- 29751, and from Dpto. de Educación, Universidades e Investigación del Gobierno Vasco under research grants IT-313-07 and IT-241-07