Category Rapports


Garch (1,1) Models with Exogeneously Driven Volatility:Structure and Estimation

Nazim Regnard, Jean-Michel Zakoïan This paper considers GARCH(1,1) models in which the time-varying coefficients are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of non-explosive solutions, and for the existence of moments of these solutions. The asymptotic properties of the quasi-maximum likelihood estimator are derived under mild assumptions and Read more [...]


Strategic Storage and Market Power in the Natural Gas Market

Laure Durand-Viel In a competitive setting, storage is traditionally used to smooth production costs or face demand variations. However, oligopolistic sellers can also use inventories as a commitment tool. We analyze strategically motivated storage in a model where, as in the European gas market, both producers and suppliers have market power. In this two-tier oligopolistic structure, storage allows suppliers not only to preempt future demand, but also to counter producers' market power.This, in Read more [...]


Valuation of a Power Plant Under Production Constraints and Market Incompleteness

Arnaud Porchet, Nizar Touzi, Xavier Warin This paper presents a real option valuation model of a power plant, which accounts for physical constraints and market incompleteness. Switching costs, minimum on-off times, ramp rates, or non-constant heat rates are important characteristics that can lead, if neglected, to overestimated values. Existence of non-hedgeable uncertainties is also an important feature of energy markets whose impact on assets value is often neglected. We use the utility indifference Read more [...]

Page 12 of 12