can you identify whether downside peaks in power spot price series do you observe a seasonal pattern in the power spot price series? is Plot the daily spot price trajectory of Powernext EPEX elec. does volatility seem higher and spikes more frequent during some spe. are the trajectories formed by random oscillations? do the price series do you observe spikes (upside peaks followed by downside jumps) in Plot the daily spot price trajectories of EEX coal and EEX natural MSc Energy, Finance, Carbon Econometrics of Energy Marketsġ.6.2 Reliability of forecasting and confidence intervalġ.7 Multicolinearity and Variables SelectionĮstimation procedures in presence of errors autocorrelationĭownload the dataset at the following address:ġ.9.1 Qualitative observation of coal, natural gas, and power spot Series in Probability and Statistics: Chapters #2,3,4,8, 10ġ.2 Estimation and Properties of the Estimatorsġ.2.1 Estimation of regression coefficientsġ.2.2 Hypotheses and properties of the estimatorsġ.2.3 Variance analysis and quality of the adjustmentġ.4.1 Variance analysis table and global significance test of theġ.5.1 Construction and purpose of dummy variables Energy, Finance, Carbon Econometrics of Energy Markets Paris Dauphine University (CGEMP/LEDa), Place du Marechal de Lattre de Tas-signy, 75775 Paris Cedex 16, France. The course is closed tostudents outside of Paris Dauphine University.

Practical applicationsunder Eviews software.Įligibility: Students enrolled in the MSc Energy, Finance, Carbon -both in research and professional majors - may register for this course.Students from other MSc need the explicit agreement of the teacherbefore starting the course to be registered. Structure: 18 hours course (equivalent to 2.5 ECTS credits) in com-puter rooms, divided in 6 lectures of 3 hours. Students will be trained with the Eviews sofwtarein computer labs in order to replicate research papers in thefield of their choice. The emphasis is placed on financial economet-rics, through the use of linear regression models, vector au-toregressive models, cointegration models, and GARCH(p,q)models. The course covers a wide rangeof applications in the oil, natural gas, coal, electricity andCO2 markets. The objective of this course is to provide students with agood command of time-series tools that may be used for theanalysis of energy markets.

Econometrics of Energy MarketsMSc Energy, Finance, Carbon

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