Explaining time-varying risk of electricity forwards: trading activity and news announcements
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KeywordsElectricity Forward Contract; High Frequency Data; Realized Volatility; Price Jump; Trading Activity; Urgent Market Message;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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