Endüstri Mühendisliği Bölümü Koleksiyonu

Permanent URI for this collectionhttps://hdl.handle.net/20.500.11779/1942

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Browsing Endüstri Mühendisliği Bölümü Koleksiyonu by Author "Çanakoğlu, Ethem"

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    Article
    Citation - WoS: 21
    Citation - Scopus: 20
    Modeling of Carbon Credit Prices Using Regime Switching Approach
    (2018) Çanakoğlu, Ethem; Ağralı, Semra; Adıyeke, Esra
    In this study, we analyze the price dynamics of carbon certificates that are traded under the European Union's Emissions Trading System (EU-ETS). With the aim of investigating the joint relations among carbon, electricity, and fuel prices, we model historical prices using several methods and incorporating structural changes, such as econometric time series, regime switching, and multivariate vector autoregression models. We compare the results of the structural model with the results of traditional Markov switching and autoregressive models with breaks and present performance analysis based on the mean average percentage error, root mean squared error, and coefficient of determination. According to these performance tests, models with regimes outperform the approaches where breaks are defined using ex ante dummy variables. Moreover, we conclude that among regime switching models, univariate models are better than multivariate counterparts for modeling carbon price series for the analysis of both in-sample and out-of-samples. Published by AIP Publishing.
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    Article
    Citation - WoS: 5
    Citation - Scopus: 5
    Risk Averse Investment Strategies for a Private Electricity Generating Company in a Carbon Constrained Environment
    (Taylor & Francis, 2019) Çanakoğlu, Ethem; Ağralı, Semra; Adıyeke, Esra
    We study a private electricity generating company that plans to enter a partially regulated market that operates under an active cap and trade system. There are different types of thermal and renewable power plants that the company considers to invest in over a predetermined planning horizon. Thermal power plants may include a carbon capture and storage technology in order to comply with the carbon limitations. We develop a time-consistent multi-stage stochastic optimization model for this investment problem, where the objective is to minimize the conditional value at risk (CV@R) of the net present value of the profit obtained through the planning horizon. We implement the model for a hypothetical generating company located in Turkey. The results show that the developed model is appropriate for determining risk averse investment strategies for a company that operates under carbon restricted market conditions.