- Financial economics. Analysis of the efficiency of financial markets. Identification of arbitrage opportunities using high-frequency databases. Estimation of risk premium in both shares and loans. Analysis of volatility transmission between markets.
- Energy finance. Analysis of hedging in energy commodities. Impact of the transition to a generation system with a strong presence of renewables on electricity prices and market design implications. Valuation of derivatives in the European pollution permit market.
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New Research Group website
26/04/22
EFEN Financial Economics and Energy Finance
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