This thesis presents a collection of papers that has been published, accepted or submitted for publication. They assess price, volatility and market relationships in the five regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales (NSW), Queensland (QLD), South Australia (SA), the Snowy Mountains Hydroelectric Scheme (SNO) and Victoria (VIC). The transmission networks that link regional systems via interconnectors across the eastern states have played an important role in the connection of the regional markets into an efficient national electricity market. During peak periods, the interconnectors become congested and the NEM separates into its regions, promoting price differences across the market and exacerbating reliability problems in regional utilities. This thesis is motivated in part by the fact that assessment of these prices and volatility within and between regional markets allows for better forecasts by electricity producers, transmitters and retailers and the efficient distribution of energy on a national level. The first two papers explore whether the lagged price and volatility information flows of the connected spot electricity markets can be used to forecast the pricing behaviour of individual markets. A multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model is used to identify the source and magnitude of price and volatility spillovers within (intra-relationship) and across (inter-relationship) the various spot markets. The results show evidence of the fact that prices in one market can be explained by their own price lagged one-period and are independent of lagged spot prices of any other markets when daily data is employed. This implies that the regional spot electricity markets are not fully integrated. However, there is also evidence of a large number of significant ownvolatility and cross-volatility spillovers in all five markets indicating that shocks in some markets will affect price volatility in others. Similar conclusions are obtained when the daily data are disaggregated into peak and off-peak periods, suggesting that the spot electricity markets are still rather isolated. These results inspired the research underlying the third paper of the thesis on modelling the dynamics of spot electricity prices in each regional market. A family of generalised autoregressive conditional heteroskedasticity (GARCH), RiskMetrics, normal Asymmetric Power ARCH (APARCH), Student APARCH and skewed Student APARCH is used to model the time-varying variance in prices with the inclusion of news arrival as proxied by the contemporaneous volume of demand, time-of-day, day-of-week and month-of-year effects as exogenous explanatory variables. The important contribution in this paper lies in the use of two latter methodologies, namely, the Student APARCH and skewed Student APARCH which take account of the skewness and fat tailed characteristics of the electricity spot price series. The results indicate significant innovation spillovers (ARCH effects) and volatility spillovers (GARCH effects) in the conditional standard deviation equation, even with market and calendar effects included. Intraday prices also exhibit significant asymmetric responses of volatility to the flow of information (that is, positive shocks or good news are associated with higher volatility than negative shocks or bad news). The fourth research paper attempts to capture salient feature of price hikes or spikes in wholesale electricity markets. The results show that electricity prices exhibit stronger mean-reversion after a price spike than the mean-reversion in the normal period, suggesting the electricity price quickly returns from some extreme position (such as a price spike) to equilibrium; this is, extreme price spikes are shortlived. Mean-reversion can be measured in a separate regime from the normal regime using Markov probability transition to identify the different regimes. The fifth and final paper investigates whether interstate/regional trade has enhanced the efficiency of each spot electricity market. Multiple variance ratio tests are used to determine if Australian spot electricity markets follow a random walk; that is, if they are informationally efficient. The results indicate that despite the presence of a national market only the Victorian market during the off-peak period is informationally (or market) efficient and follows a random walk. This thesis makes a significant contribution in estimating the volatility and the efficiency of the wholesale electricity prices by employing four advanced time series techniques that have not been previously explored in the Australian context. An understanding of the modelling and forecastability of electricity spot price volatility across and within the Australian spot markets is vital for generators, distributors and market regulators. Such an understanding influences the pricing of derivative contracts traded on the electricity markets and enables market participants to better manage their financial risks.

In this work, regression models for the wake field entering a propeller at certain axial andnominal position have been proposed. Wakes are non-uniform flows following a body immersedin a viscous fluid. We have proposed models for the axial and tangential velocity distribution asfunctions of ship hull and propeller measures. The regression models were modelled using Fourierseries and parameter estimations based on skewed-Gaussian and sine functions. The wake fieldis an important parameter in propeller design. The regression models are based on experimentaldata provided by the Rolls-Royce Hydrodynamic Research Center in Kristinehamn. Also we havestudied the flow in the axial velocity distribution in the propeller plane using the coherent structurecoloring method. The coherent structure coloring is used to study coherent patterns by looking atfluid particle kinematics. Using this type of analysis, we observed that the velocity distributionbehaves kinematically similar in the different regions of the wake distribution, which according tothe coherent structure coloring indicate coherence. / I det här arbetet, har regressionsmodeller för medströmsfältet in i en propeller vid viss axielloch nominell position utvecklats. Medströmsfältet är ojämn strömning efter en kropp nedsänkt i enviskös vätska. Vi har föreslagit modeller för axiell och tangentiell hastighetsfördelning som funktionerför fartygsskrov-och propeller-parametrar. Regressionsmodellerna modellerades med hjälpav Fourier-serier och parameterskattning baserade på skeva Gaussfördelningar och sinusfunktioner.Medströmsfältet är en viktig parameter i propeller design. Regressionsmodellerna är baserade påexperimentella data från Rolls-Royces Hydrodynamiska Forskningscenter i Kristinehamn. Vi harockså studerat flödet i axialhastighetsfördelningen i propellplanet med hjälp av den koherenta struktureringsfärgmetoden.Den koherenta struktureringsfärgmetoden används för att studera koherentamönster genom att titta på vätskepartikelkinematik. Med hjälp av denna typ av analys observeradevi att hastighetsfördelningen uppför sig kinematiskt lika i de olika regionerna i medströmsfältet,vilket enligt koherenta strukturfärgmetoden indikerar koherens.

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Curved and skewed I-girder bridges exhibit torsional displacements of the individual girders and of the overall bridge cross-section under dead loads. As a result, the girder webs can be plumb in only one configuration. If the structure is built such that the webs are plumb in the ideal no-load position, they generally cannot be plumb under the action of the structure's steel or total dead load; hence, twisting of the girders is unavoidable under dead loads. The deflected geometry resulting from these torsional displacements can impact the fit-up of the members, the erection requirements (crane positions and capacities, the number of temporary supports, tie down requirements, etc.), the bearing cost and type, and the overall strength of the structure. Furthermore, significant layover may be visually objectionable, particularly at piers and abutments. If the torsional deflections are large enough, then the cross-frames are typically detailed to compensate for them, either partially or fully. As specified in Article C6.7.2 of the AASHTO LRFD Specifications, different types of cross-frame detailing methods are used to achieve theoretically plumb webs under the no-load, steel dead load, or total dead load conditions. Each of the cross-frame detailing methods has ramifications on the behavior and constructability of a bridge. Currently, there is much confusion and divergence of opinion in the bridge industry regarding the stage at which steel I girder webs should be ideally plumb and the consequences of out-of-plumbness at other stages. Furthermore, concerns are often raised about potential fit-up problems during steel erection as well as the control of the final deck geometry (e.g., cross-slopes and joint alignment). These influences and ramifications of cross-frame detailing need to be investigated and explained so that resulting field problems leading to needless construction delays and legal claims can be avoided. This dissertation addresses the influence of cross-frame detailing on curved and/or skewed steel I girder bridges during steel erection and concrete deck placement by conducting comprehensive analytical studies. Procedures to determine the lack-of-fit forces due to dead load fit (DLF) detailing are developed to assess the impact of different types of cross-frame detailing. The studies include benchmarking of refined analytical models against selected full scale experimental tests and field measurements. These analytical models are then utilized to study a variety of practical combinations and permutations of bridge parameters pertaining to horizontal curvature and skew effects. This research develops and clarifies procedures and provides new knowledge with respect to the impact of cross-frame detailing methods on: 1) constructed bridge geometries, 2) cross-frame forces, 3) girder stresses, 4) system strengths, 5) potential uplift at bearings, and 6) fit-up during erection. These developments provide the basis for the development of refined guidelines for: 1) practices to alleviate fit-up difficulties during erection, 2) selection of cross-frame detailing methods as a function of I-girder bridge geometry characteristics, and 3) procedures to calculate the locked-in forces due to DLF cross-frame detailing.

Dans ce travail, nous proposons des procédures de test paramétriques et nonparamétrique localement et asymptotiquement optimales au sens de Hajek et Le Cam, pour trois modèles d'asymétrie. <p>La construction de modèles d'asymétrie est un sujet de recherche qui a connu un grand développement ces dernières années, et l'obtention des tests optimaux (pour trois modèles différents) est une étape essentielle en vue de leur mise en application. <p>Notre approche est fondée sur la théorie de Le Cam d'une part, pour obtenir les propriétés de normalité asymptotique, bases de la construction des tests paramétriques optimaux, et la théorie de Hajek d'autre part, qui, via un principe d'invariance permet d'obtenir les procédures non-paramétriques.<p><p>Nous considérons dans ce travail deux classes de distributions univariées asymétriques, l'une fondée sur un développement d'Edgeworth (décrit dans le Chapitre 1), et l'autre construite en utilisant un paramètre d'échelle différent pour les valeurs positives et négatives (le modèle de Fechner, décrit dans le Chapitre 2).<p>Le modèle d'asymétrie elliptique étudié dans le dernier chapitre est une généralisation multivariée du modèle du Chapitre 2.<p>Pour chacun de ces modèles, nous proposons de tester l'hypothèse de symétrie par rapport à un centre fixé, puis par rapport à un centre non spécifié.<p><p>Après avoir décrit le modèle pour lequel nous construisons les procédures optimales, nous obtenons la propriété de normalité locale asymptotique. A partir de ce résultat, nous sommes capable de construire les tests paramétriques localement et asymptotiquement optimaux. Ces tests ne sont toutefois valides que si la densité sous-jacente f est correctement spécifiée. Ils ont donc le mérite de déterminer les bornes d'efficacité paramétrique, mais sont difficilement applicables. <p>Nous adaptons donc ces tests afin de pouvoir tester les hypothèses de symétrie par rapport à un centre fixé ou non, lorsque la densité sous-jacente est considérée comme un paramètre de nuisance. <p>Les tests que nous obtenons restent localement et asymptotiquement optimaux sous f, mais restent valides sous une large classe de densités. <p><p>A partir des propriétés d'invariance du sous-modèle identifié par l'hypothèse nulle, nous obtenons les tests de rangs signés localement et asymptotiquement optimaux sous f, et valide sous une vaste classe de densité. Nous présentons en particulier, les tests fondés sur les scores normaux (ou tests de van der Waerden), qui sont optimaux sous des hypothèses Gaussiennes, tout en étant valides si cette hypothèse n'est pas vérifiée.<p>Afin de comparer les performances des tests paramétriques et non paramétriques présentés, nous calculons les efficacités asymptotiques relatives des tests non paramétriques par rapport aux tests pseudo-Gaussiens, sous une vaste classe de densités non-Gaussiennes, et nous proposons quelques simulations. / Doctorat en sciences, Orientation statistique / info:eu-repo/semantics/nonPublished