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Efficient Estimation of Cointegrating Relationships Among Higher Order and Fractionally Integrated Processes
En este trabajo se aborda el problema de la estimacion eficiente de vectores de cointegracion en modelos de regresion lineal con variables que siguen procesos integrados generalizados (de orden superior a la unidad y fraccionales). En el caso de integracion I(d), d=2,3..., se demuestra que existe un procedimiento FM-OLS que solo necesita corregir el sesgo de endogeneidad y produce estimadores asintoticamente eficientes y normales. Cuando los regresores siguen procesos integrados fraccionados FI(d) y el error es FI( ), existe un estimador de caracteristicas similares, denominado FFM-OLS, si d y d 1/2. En cualquier caso, no existe un estimador del vector de cointegracion cuya distribucion asintotica sea normal. Finalmente, se analizan las consecuencias de aplicar el procedimiento de estimacion FM-OLS diseñado para variables I(1), cuando las variables son (d) o FI(d). Se demuestra que, en dicho caso, el estimador FM-OLS pierde sus propiedades de optimalidad. (jdl) (mac).
Energy and Power Risk Management
Praise for Energy and Power Risk Management "Energy and Power Risk Management identifies and addresses the key issues in the development of the turbulent energy industry and the challenges it poses to market players. An insightful and far-reaching book written by two renowned professionals." -Helyette Geman, Professor of Finance University Paris Dauphine and ESSEC "The most up-to-date and comprehensive book on managing energy price risk in the natural gas and power markets. An absolute imperative for energy traders and energy risk management professionals." -Vincent Kaminski, Managing Director Citadel Investment Group LLC "Eydeland and Wolyniec's work does an excellent job of outlining the methods needed to measure and manage risk in the volatile energy market." -Gerald G. Fleming, Vice President, Head of East Power Trading, TXU Energy Trading "This book combines academic rigor with real-world practicality. It is a must-read for anyone in energy risk management or asset valuation." -Ron Erd, Senior Vice President American Electric Power
