Short-term electricity futures prices: Evidence on the time-varying risk premium
Download full text from publisher
References listed on IDEAS
- Goto, Mika & Karolyi, G. Andrew, 2004. "Understanding Electricity Price Volatility within and across Markets," Working Paper Series 2004-12, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007.
"Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices,"
Journal of the American Statistical Association,
American Statistical Association, vol. 102, pages 16-27, March.
- Siem Jan Koopman & Marius Ooms & M. Angeles Carnero, 2005. "Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices," Tinbergen Institute Discussion Papers 05-091/4, Tinbergen Institute.
- Nils-Henrik M. von der Fehr, Eirik S. Amundsen and Lars Bergman, 2005.
"The Nordic Market: Signs of Stress?,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Special I), pages 71-98.
- M. von der Fehr, Nils-Henrik & Amundsen, Eirik S. & Bergman, Lars, 2004. "The Nordic Market: Signs Of Stress?," Working Papers in Economics 15/04, University of Bergen, Department of Economics.
- von der Fehr, N-H.M. & Amundsen , E.S. & Bergman, L., 2005. "The Nordic Market: Signs of Stress?," Cambridge Working Papers in Economics 0525, Faculty of Economics, University of Cambridge.
- Markus Burger & Bernhard Klar & Alfred Muller & Gero Schindlmayr, 2004. "A spot market model for pricing derivatives in electricity markets," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 109-122.
- Alvaro Cartea & Marcelo Figueroa, 2005.
"Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 12(4), pages 313-335.
- Alvaro Cartea & Marcelo Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Birkbeck Working Papers in Economics and Finance 0507, Birkbeck, Department of Economics, Mathematics & Statistics.
- Alvaro Cartea & Marcelo_Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Finance 0501011, EconWPA, revised 12 Sep 2005.
- Haldrup, Niels & Nielsen, Morten Orregaard, 2006.
"A regime switching long memory model for electricity prices,"
Journal of Econometrics,
Elsevier, vol. 135(1-2), pages 349-376.
- Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, Department of Economics and Business Economics, Aarhus University.
- Hipòlit Torró, 2007. "Forecasting Weekly Electricity Prices at Nord Pool," Working Papers 2007.88, Fondazione Eni Enrico Mattei.
- Chester Spatt & Bryan Routledge & Duane Seppi, 1998. "The Spark Spread: An equilibrium model of the Cross-Commodity Price Relationships in Electricity," GSIA Working Papers 1999-15, Carnegie Mellon University, Tepper School of Business.
- Francis A. Longstaff & Ashley W. Wang, 2004. "Electricity Forward Prices: A High-Frequency Empirical Analysis," Journal of Finance, American Finance Association, vol. 59(4), pages 1877-1900, August.
- Hendrik Bessembinder & Michael L. Lemmon, 2002. "Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets," Journal of Finance, American Finance Association, vol. 57(3), pages 1347-1382, June.
- Alvaro Escribano & J. Ignacio Peña & Pablo Villaplana, 2011.
"Modelling Electricity Prices: International Evidence,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 73(5), pages 622-650, October.
- Villaplana Conde, Pablo & Peña Sánchez de Rivera, Juan Ignacio & Escribano Sáez, Álvaro, 2002. "Modeling electricity prices: international evidence," UC3M Working papers. Economics we022708, Universidad Carlos III de Madrid. Departamento de Economía.
- Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003. "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics 0303007, EconWPA.
- Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Andrés Mirantes & Javier Población & Gregorio Serna, 2015. "Commodity derivative valuation under a factor model with time-varying market prices of risk," Review of Derivatives Research, Springer, vol. 18(1), pages 75-93, April.
- Mehtap Kilic & Ronald Huisman, 2010. "Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices," Tinbergen Institute Discussion Papers 10-070/2, Tinbergen Institute.
- Huisman, Ronald & Kilic, Mehtap, 2012. "Electricity Futures Prices: Indirect Storability, Expectations, and Risk Premiums," Energy Economics, Elsevier, vol. 34(4), pages 892-898.
- Pietz, Matthäus, 2009. "Risk premia in electricity wholesale spot markets: empirical evidence from Germany," CEFS Working Paper Series 2009-11, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- Michal Michalovský & Igor Paholok, 2011. "Portfolio Theory and Electricity Forward Markets," European Financial and Accounting Journal, University of Economics, Prague, vol. 2011(1), pages 76-103.
- Viehmann, Johannes, 2011. "Risk premiums in the German day-ahead Electricity Market," Energy Policy, Elsevier, vol. 39(1), pages 386-394, January.
- Christian Redl & Derek Bunn, 2013. "Determinants of the premium in forward contracts," Journal of Regulatory Economics, Springer, vol. 43(1), pages 90-111, January.
- Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
- Torro, Hipolit, 2009. "Assessing the influence of spot price predictability on electricity futures hedging," MPRA Paper 18892, University Library of Munich, Germany.
- Furió, Dolores & Meneu, Vicente, 2010. "Expectations and forward risk premium in the Spanish deregulated power market," Energy Policy, Elsevier, vol. 38(2), pages 784-793, February.
- repec:spr:compst:v:79:y:2014:i:1:p:1-30 is not listed on IDEAS
- Pietz, Matthäus, 2009. "Risk premia in the German electricity futures market," CEFS Working Paper Series 2009-07, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
More about this item
KeywordsPrima de riesgo; futuros sobre la electricidad; Nord Pool risk premium; electricity futures; Nord Pool;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec:2008-08. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Departamento de Edición). General contact details of provider: http://edirc.repec.org/data/ievages.html .