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The inherent inefficiency of simultaneously feasible financial transmission rights auctions
Deng, Shi-Jie; Oren, Shmuel; Meliopoulos, A.P. - In: Energy Economics 32 (2010) 4, pp. 779-785
Empirical evidence from the New York ISO shows that the clearing prices for point-to-point congestion revenue rights, also known as financial transmission rights (FTRs), resulting from centralized auctions conducted by Independent System Operators differ significantly and systematically from the...
Persistent link: https://www.econbiz.de/10008494716
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The inherent inefficiency of simultaneously feasible financial transmission rights auctions
Deng, Shi-jie; Oren, Shmuel S.; Meliopoulos, A. P. - In: Energy economics 32 (2010) 4, pp. 779-785
Persistent link: https://www.econbiz.de/10008779954
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Priority network access pricing for electric power
Deng, Shi-jie; Oren, Shmuel S. - In: Journal of regulatory economics 19 (2001) 3, pp. 239-270
Persistent link: https://www.econbiz.de/10001616787
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Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
Chan, Ngai Hang; Deng, Shi-jie; Peng, Liang; Xia, Zhendong - In: Journal of econometrics 137 (2007) 2, pp. 556-576
Persistent link: https://www.econbiz.de/10003441983
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Closed-form approximations for spread option prices and greeks
Li, Minqiang; Deng, Shi-jie; Zhou, Jieyun - In: The journal of derivatives : the official publication … 15 (2008) 3, pp. 58-80
Persistent link: https://www.econbiz.de/10003673361
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Applied optimization in global efficient portfolio construction using earning forecasts
Deng, Shijie; Min, Xinyu - In: The journal of investing 22 (2013) 4, pp. 104-114
Persistent link: https://www.econbiz.de/10010357087
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Effectiveness of earnings forecasts in efficient global portfolio construction
Xia, Hui; Min, Xinyu; Deng, Shijie - In: International journal of forecasting 31 (2015) 2, pp. 568-574
Persistent link: https://www.econbiz.de/10011474407
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Quantile-based probalistic models for electricity prices
Deng, Shi-Jie; Jiang, Wenjiang - In: Modelling prices in competitive electricity markets, (pp. 161-176). 2004
Persistent link: https://www.econbiz.de/10003232780
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What can cluster analysis offer in investing? : measuring structural changes in the investment universe
Sim, Min Kyu; Deng, Shijie; Huo, Xiaoming - In: International review of economics & finance : IREF 71 (2021), pp. 299-315
Persistent link: https://www.econbiz.de/10012627784
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Empirical analysis of market connectedness as a risk factor for explaining expected stock returns
Deng, Shijie; Sim, Min; Huo, Xiaoming - In: Portfolio construction, measurement, and efficiency : …, (pp. 275-289). 2017
Persistent link: https://www.econbiz.de/10011603250