Risk Premia in Electricity Forward Prices
We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the implied forward price behaviour. We then assess the term-structure and time-evolution of the risk premia for each of the markets.
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Volume (Year): 10 (2006)
Issue (Month): 3 (September)
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