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The information content of cross-sectional volatility for future market volatility : evidence from Australian equity returns
Rahman, Md. Arifur - University of Western Sydney; University of Western Sydney - 2007
This paper presents research into the information content of firm-level and industry-level cross-sectional volatility (CSV) of daily equity returns for future market-level volatility in Australia. Using a conditional volatility framework that allows for commonly observed excess kurtosis in asset...
Persistent link: https://www.econbiz.de/10009481991
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Applications of change of numéraire for option pricing
Le Roux, Gawie - 2007
The word numéraire refers to the unit of measurement used to value a portfolio of assets. Thechange of numéraire technique involves converting from one measurement to another. Theforeign exchange markets are natural settings for interpreting this technique (but are by no meansthe only...
Persistent link: https://www.econbiz.de/10009442166
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On the information content of idiosyncratic equity return variation
Rahman, Md. Arifur - University of Western Sydney; College of Business; … - 2007
transmission, and fundamental efficiency of stock prices. Chapter 2 of the thesis presents research into the information content of … prices in majority of the Asian emerging markets are not devoid of fundamentals. …
Persistent link: https://www.econbiz.de/10009482095
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Potential for substitution of geothermal energy at domestic defense installations and White Sands Missile Range
Bakewell, C.A.; Renner, J.L. - 2007
substitute energy at or below current market prices for oil. Six additional locations - Ellsworth, Luke, Williams, Bliss, Fallon … be economically competitive with natural gas at current controlled prices. Generation of electric power at the locations …
Persistent link: https://www.econbiz.de/10009435583
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Analysis of the industrial sector representation in the Fossil2 energy-economic model
Wise, M.A.; Woodruff, M.G.; Ashton, W.B. - 2008
The Fossil2 energy-economic model is used by the US Department of Energy (DOE) for a variety of energy and environmental policy analyses. A number of improvements to the model are under way or are being considered. This report was prepared by the Pacific Northwest Laboratory (PNL) to provide a...
Persistent link: https://www.econbiz.de/10009435747
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Managing electricity reliability risk through the futures markets
Siddiqui, Afzal S. - 2008
corresponding market-clearing prices. We show that future prices for both electricity and AS depend on expectations of the spot …
Persistent link: https://www.econbiz.de/10009435805
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Sensitivity analysis of world oil prices. Analysis report AR/IA/79-47
Rodekohr, M.; Cato, D. - 2008
(CIA) and Energy Information Agency (EIA) forecasting models of world oil prices is presented. This comparison consists of … encompassing. In particular, the analysis does not provide data on crude oil prices in the spot market, but does provide … changes in oil prices. Throughout this paper, world oil prices are defined in terms of real 1978 dollars per barrel of crude …
Persistent link: https://www.econbiz.de/10009435871
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A model for Long-term Industrial Energy Forecasting (LIEF)
Ross, M.; Hwang, R. - 2008
, macroeconomic forecasts of individual subsector growth rates and energy prices can then be combined with endogenous forecasts of …
Persistent link: https://www.econbiz.de/10009436210
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The role of competitive forces in integrated resource planning
Kahn, E.; Goldman, C. - 2008
In this report, we study the potential for competitive forces to enhance the efficiency of integrated resource planning and produce consumer cost reductions. We examine the efficiency gains from competition in the private power market, and ask whether similar forces can be successful on the...
Persistent link: https://www.econbiz.de/10009436581
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Analysis of the industrial sector representation in the Fossil2 energy-economic model
Wise, M.A.; Woodruff, M.G.; Ashton, W.B. - 2008
The Fossil2 energy-economic model is used by the US Department of Energy (DOE) for a variety of energy and environmental policy analyses. A number of improvements to the model are under way or are being considered. This report was prepared by the Pacific Northwest Laboratory (PNL) to provide a...
Persistent link: https://www.econbiz.de/10009436934