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dc.contributor.authorGupta, R
dc.contributor.authorWest, JM
dc.date.accessioned2017-05-03T15:59:38Z
dc.date.available2017-05-03T15:59:38Z
dc.date.issued2014
dc.identifier.issn1520-7439
dc.identifier.doi10.1007/s11053-013-9220-x
dc.identifier.urihttp://hdl.handle.net/10072/68926
dc.description.abstractWe constructed a procurement portfolio for the Indian power sector using two variants of the dynamic conditional correlation GARCH model to derive time-varying correlations between major coal indices. We used prices and qualities of observed cargos to adjust indices for quality gaps as well as for freight costs and power plant efficiency factors. Using the relative homogeneity of the energy content of imports from Australia, South Africa, and Indonesia, we found that the regional seaborne market is highly correlated during normal economic conditions, while suffering brief departures in correlation during demand and supply shocks. Our results show that the buying behavior of power producers is aligned with the mean-variance efficient portfolio of delivered prices using time-varying correlation estimates, but not free-on-board coal index prices. This study challenges the notion that thermal coal importers only source material with a freight price advantage and highlights the importance of coal quality gaps in power production.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherSpringer
dc.publisher.placeUnited States
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom267
dc.relation.ispartofpageto283
dc.relation.ispartofissue2
dc.relation.ispartofjournalNatural Resources research
dc.relation.ispartofvolume23
dc.rights.retentionY
dc.subject.fieldofresearchResources engineering and extractive metallurgy
dc.subject.fieldofresearchInvestment and risk management
dc.subject.fieldofresearchcode4019
dc.subject.fieldofresearchcode350208
dc.titleEfficient Generation Portfolio Construction using Time-varying Correlations
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.hasfulltextNo Full Text
gro.griffith.authorGupta, Rakesh


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