Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Econometric modeling of electricty price in a renewables - rich environment. Comaprative study of Polish and Dutch power modeling.

2013/09/N/HS4/03751

Keywords:

Bayesian filtering cointegration Bayesian model selection Bayesian Model Averaging Value at Risk electricty prices

Descriptors:

  • HS4_3: Econometrics, statistical methods

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny

woj. łódzkie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Łukasz Gątarek 

Number of co-investigators in the project: 2

Call: PRELUDIUM 5 - announced on 2013-03-15

Amount awarded: 144 750 PLN

Project start date (Y-m-d): 2014-04-01

Project end date (Y-m-d): 2017-03-31

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. komputer oraz licencja na oprogramowanie ekonometryczne (4 108 PLN)

Information in the final report

  • Publication in academic press/journals (3)
  1. A new bootstrap test for multiple assets joint risk testing
    Authors:
    David Ardia, Lukasz T. Gatarek, Lennart Hoogerheide
    Academic press:
    Journal of Risk (rok: 2017, tom: 19, strony: 45313), Wydawca: risk.net
    Status:
    Published
    DOI:
    www.risk.net/journal-of-risk/4562496/a-new-bootstrap-test-for-multiple-assets-joint-risk-testing - link to the publication
  2. Return and Risk of Pairs Trading Using a Simulation-Based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
    Authors:
    David Ardia, Lukasz T. Gatarek, Lennart Hoogerheide and Herman K. Van Dijk
    Academic press:
    Econometrics (rok: 2016, tom: 8(1), strony: 45310), Wydawca: MDPI
    Status:
    Published
    DOI:
    https://www.mdpi.com/2225-1146/4/1/14 - link to the publication
  3. The role of cointegration for optimal hedging with heteroscedastic error term
    Authors:
    Lukasz T. Gatarek, Soren Johansen
    Academic press:
    Econometric Theory , Wydawca: Cambridge University Press
    Status:
    Submitted
    DOI:
    https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2932844 - link to the publication

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