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Citations for "Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets"

by Hendrik Bessembinder & Michael L. Lemmon

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  1. Rammerstorfer, Margarethe & Wagner, Christian, 2009. "Reforming minute reserve policy in Germany: A step towards efficient markets?," Energy Policy, Elsevier, vol. 37(9), pages 3513-3519, September.
  2. Laura Onofri, 2005. "Electricity Market Restructuring and Energy Contracts: A Critical Note on the EU Commission’s NEA Decision," European Journal of Law and Economics, Springer, vol. 20(1), pages 71-85, July.
  3. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Analysis of model implied volatility for jump diffusion models: Empirical evidence from the Nordpool market," Energy Economics, Elsevier, vol. 32(2), pages 302-312, March.
  4. Kavussanos, Manolis G. & Visvikis, Ilias D., 2004. "Market interactions in returns and volatilities between spot and forward shipping freight markets," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 2015-2049, August.
  5. Debbie Dupuis, Geneviève Gauthier, and Fréderic Godin, 2016. "Short-term Hedging for an Electricity Retailer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  6. Benth, Fred Espen & Klüppelberg, Claudia & Müller, Gernot & Vos, Linda, 2014. "Futures pricing in electricity markets based on stable CARMA spot models," Energy Economics, Elsevier, vol. 44(C), pages 392-406.
  7. 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.
  8. Lucia, Julio J. & Torró, Hipòlit, 2011. "On the risk premium in Nordic electricity futures prices," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 750-763, October.
  9. Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  10. Guy Meunier, 2013. "Risk aversion and technology mix in an electricity market," Working Papers hal-00906944, HAL.
  11. Tishler, Asher & Milstein, Irena & Woo, Chi-Keung, 2008. "Capacity commitment and price volatility in a competitive electricity market," Energy Economics, Elsevier, vol. 30(4), pages 1625-1647, July.
  12. Beatriz Martínez, Beatriz Martínez & Hipòlit Torró, Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," ESP: Energy Scenarios and Policy 232212, Fondazione Eni Enrico Mattei (FEEM).
  13. Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
  14. Alvaro Cartea & Marcelo Figueroa & Helyette Geman, 2009. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 103-122.
  15. Douglas, Stratford & Popova, Julia, 2008. "Storage and the electricity forward premium," Energy Economics, Elsevier, vol. 30(4), pages 1712-1727, July.
  16. Baskette, C. & Horii, B. & Kollman, E. & Price, S., 2006. "Avoided cost estimation and post-reform funding allocation for California's energy efficiency programs," Energy, Elsevier, vol. 31(6), pages 1084-1099.
  17. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien De Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
  18. Cartea, Álvaro & Villaplana, Pablo, 2008. "Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2502-2519, December.
  19. Kim Christensen & Roel Oomen & Mark Podolskij, 2010. "Realised quantile-based estimation of the integrated variance," Post-Print hal-00732538, HAL.
  20. Mount, Timothy D. & Ning, Yumei & Cai, Xiaobin, 2006. "Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters," Energy Economics, Elsevier, vol. 28(1), pages 62-80, January.
  21. Holmberg, P. & Willems, Bert, 2012. "Relaxing Competition through Speculation : Committing to a Negative Supply Slope," Discussion Paper 2012-039, Tilburg University, Tilburg Law and Economic Center.
  22. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
  23. Yannick LE PEN & Benoît SEVI, 2008. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Cahiers du CREDEN (CREDEN Working Papers) 08.09.77, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1.
  24. Anderson, Edward J. & Hu, Xinin & Winchester, Donald, 2007. "Forward contracts in electricity markets: The Australian experience," Energy Policy, Elsevier, vol. 35(5), pages 3089-3103, May.
  25. Rotger, G.P. & Franses, Ph.H.B.F., 2006. "Forecasting high-frequency electricity demand with a diffusion index model," Econometric Institute Research Papers EI 2006-38, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  26. Vazquez, Miguel & Barquín, Julián, 2009. "A fundamental power price model with oligopolistic competition representation," MPRA Paper 15629, University Library of Munich, Germany.
  27. Benth, Fred Espen & Koekebakker, Steen, 2008. "Stochastic modeling of financial electricity contracts," Energy Economics, Elsevier, vol. 30(3), pages 1116-1157, May.
  28. Bierbrauer, Michael & Menn, Christian & Rachev, Svetlozar T. & Truck, Stefan, 2007. "Spot and derivative pricing in the EEX power market," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3462-3485, November.
  29. N. K. Nomikos & O. Soldatos, 2008. "Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(1), pages 41-71.
  30. Füss, Roland & Mahringer, Steffen & Prokopczuk, Marcel, 2015. "Electricity derivatives pricing with forward-looking information," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 34-57.
  31. Bowden, Nicholas & Payne, James E., 2008. "Short term forecasting of electricity prices for MISO hubs: Evidence from ARIMA-EGARCH models," Energy Economics, Elsevier, vol. 30(6), pages 3186-3197, November.
  32. Capitán Herráiz, Álvaro & Rodríguez Monroy, Carlos, 2009. "Analysis of the efficiency of the Iberian power futures market," Energy Policy, Elsevier, vol. 37(9), pages 3566-3579, September.
  33. 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).
  34. Tishler, A. & Woo, C.K., 2006. "Likely failure of electricity deregulation: Explanation with application to Israel," Energy, Elsevier, vol. 31(6), pages 845-856.
  35. Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.
  36. repec:hal:journl:peer-00732538 is not listed on IDEAS
  37. Werner, Dan, 2014. "Electricity Market Price Volatility: The Importance of Ramping Costs," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169619, Agricultural and Applied Economics Association.
  38. 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).
  39. Miguel Vazquez & Michelle Hallac, 2014. "Analysis Of The Strategic Use Of Forward Contracting In Electricity Markets," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 129, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  40. Elberg, Christina & Hagspiel, Simeon, 2015. "Spatial dependencies of wind power and interrelations with spot price dynamics," European Journal of Operational Research, Elsevier, vol. 241(1), pages 260-272.
  41. Helms, Thorsten & Loock, Moritz & Bohnsack, René, 2016. "Timing-based business models for flexibility creation in the electric power sector," Energy Policy, Elsevier, vol. 92(C), pages 348-358.
  42. Knittel, Christopher R. & Roberts, Michael R., 2005. "An empirical examination of restructured electricity prices," Energy Economics, Elsevier, vol. 27(5), pages 791-817, September.
  43. Bobinaite, Viktorija & Juozapaviciene, Aldona & Staniewski, Marcin & Szczepankowski, Piotr, 2013. "Comparative analysis of features of Polish and Lithuanian Day-ahead electricity market prices," Energy Policy, Elsevier, vol. 63(C), pages 181-196.
  44. Konstantinos Metaxoglou & Aaron Smith, 2007. "Efficiency of the California electricity reserves market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(6), pages 1127-1144.
  45. Kallabis, Thomas & Pape, Christian & Weber, Christoph, 2016. "The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model," Energy Policy, Elsevier, vol. 95(C), pages 280-290.
  46. repec:dau:papers:123456789/6808 is not listed on IDEAS
  47. Christian Redl & Derek Bunn, 2013. "Determinants of the premium in forward contracts," Journal of Regulatory Economics, Springer, vol. 43(1), pages 90-111, January.
  48. Anderson, Edward J. & Hu, Xinmin, 2008. "Forward contracts and market power in an electricity market," International Journal of Industrial Organization, Elsevier, vol. 26(3), pages 679-694, May.
  49. Frestad, Dennis, 2012. "Liquidity and dirty hedging in the Nordic electricity market," Energy Economics, Elsevier, vol. 34(5), pages 1341-1355.
  50. Lazarczyk, Ewa, 2013. "Market Specific News and Its Impact on Electricity Prices – Forward Premia," Working Paper Series 953, Research Institute of Industrial Economics, revised 20 Aug 2013.
  51. Stein-Erik Fleten & Ronald Huisman & Mehtap Kilic & Enrico Pennings & Sjur Westgaard, 2014. "Electricity futures prices: time varying sensitivity to fundamentals," Working Papers 2014/21, Institut d'Economia de Barcelona (IEB).
  52. Nomikos, Nikos K. & Soldatos, Orestes A., 2010. "Modelling short and long-term risks in power markets: Empirical evidence from Nord Pool," Energy Policy, Elsevier, vol. 38(10), pages 5671-5683, October.
  53. Jean-Daniel Saphores & Éric Gravel & Jean-Thomas Bernard, 2003. "Environmental Impact Assessment and Investment under Uncertainty: An Application to Power Grid Interconnection," CIRANO Working Papers 2003s-29, CIRANO.
  54. Carlos Pinho & Mara Madaleno, 2011. "Links between spot and futures allowances: ECX and EEX markets comparison," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 101-131.
  55. Guthrie, Graeme & Videbeck, Steen, 2002. "High Frequency Electricity Spot Price Dynamics: An Intra-day Markets Approach," Working Paper Series 3891, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  56. Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013. "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, vol. 109(2), pages 441-465.
  57. Botterud, Audun & Kristiansen, Tarjei & Ilic, Marija D., 2010. "The relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, vol. 32(5), pages 967-978, September.
  58. Dinica, Mihai Cristian & Armeanu, Daniel, 2014. "The Optimal Hedging Ratio for Non-Ferrous Metals," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 105-122, March.
  59. repec:dau:papers:123456789/6395 is not listed on IDEAS
  60. Almut E. D. Veraart & Luitgard A. M. Veraart, 2013. "Risk premia in energy markets," CREATES Research Papers 2013-02, Department of Economics and Business Economics, Aarhus University.
  61. Haim Mendelson & Tunay I. Tunca, 2007. "Strategic Spot Trading in Supply Chains," Management Science, INFORMS, vol. 53(5), pages 742-759, May.
  62. Boons, M.F., 2014. "Sorting out commodity and macroeconomic risk in expected stock returns," Other publications TiSEM 1ebdac58-bf37-499d-8835-1, Tilburg University, School of Economics and Management.
  63. Ruoyang Li & Alva Svoboda & Shmuel Oren, 2015. "Efficiency impact of convergence bidding in the california electricity market," Journal of Regulatory Economics, Springer, vol. 48(3), pages 245-284, December.
  64. Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B., 2015. "A multi-factor model with time-varying and seasonal risk premiums for the natural gas market," Energy Economics, Elsevier, vol. 50(C), pages 207-214.
  65. Redl, Christian & Haas, Reinhard & Huber, Claus & Böhm, Bernhard, 2009. "Price formation in electricity forward markets and the relevance of systematic forecast errors," Energy Economics, Elsevier, vol. 31(3), pages 356-364, May.
  66. Fleten, Stein-Erik & Bråthen, Espen & Nissen-Meyer, Sigurd-Erik, 2010. "Evaluation of static hedging strategies for hydropower producers in the Nordic market," MPRA Paper 27133, University Library of Munich, Germany.
  67. Guthrie, Graeme & Videbeck, Steen, 2004. "Electricity Spot Price Dynamics: Beyond Financial Models," Working Paper Series 3866, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  68. Viehmann, Johannes, 2011. "Risk premiums in the German day-ahead Electricity Market," Energy Policy, Elsevier, vol. 39(1), pages 386-394, January.
  69. Kolos, Sergey P. & Ronn, Ehud I., 2008. "Estimating the commodity market price of risk for energy prices," Energy Economics, Elsevier, vol. 30(2), pages 621-641, March.
  70. Woo, Chi-Keung & Horowitz, Ira & Olson, Arne & Horii, Brian & Baskette, Carmen, 2006. "Efficient frontiers for electricity procurement by an LDC with multiple purchase options," Omega, Elsevier, vol. 34(1), pages 70-80, January.
  71. SMEERS, Yves, 2005. "How well can one measure market power in restructured electricity systems ?," CORE Discussion Papers 2005050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  72. Lester Hadsell, 2006. "A TARCH examination of the return volatility-volume relationship in electricity futures," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 893-901.
  73. Bolinger, Mark & Wiser, Ryan & Golove, William, 2006. "Accounting for fuel price risk when comparing renewable to gas-fired generation: the role of forward natural gas prices," Energy Policy, Elsevier, vol. 34(6), pages 706-720, April.
  74. Fan, Lin & Hobbs, Benjamin F. & Norman, Catherine S., 2010. "Risk aversion and CO2 regulatory uncertainty in power generation investment: Policy and modeling implications," Journal of Environmental Economics and Management, Elsevier, vol. 60(3), pages 193-208, November.
  75. 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.
  76. Hjalmarsson, Erik, 2003. "Does the Black-Scholes formula work for electricity markets? A nonparametric approach," Working Papers in Economics 101, University of Gothenburg, Department of Economics.
  77. Fred Espen Benth & Claudia Kl\"uppelberg & Gernot M\"uller & Linda Vos, 2012. "Futures pricing in electricity markets based on stable CARMA spot models," Papers 1201.1151, arXiv.org.
  78. Boogert, Alexander & Dupont, Dominique, 2005. "On the effectiveness of the anti-gaming policy between the day-ahead and real-time electricity markets in The Netherlands," Energy Economics, Elsevier, vol. 27(5), pages 752-770, September.
  79. Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard, 2007. "Market Power in Power Markets: Evidence from Forward Prices of Electricity," CREATES Research Papers 2007-30, Department of Economics and Business Economics, Aarhus University.
  80. Woo, C.K. & Moore, J. & Schneiderman, B. & Ho, T. & Olson, A. & Alagappan, L. & Chawla, K. & Toyama, N. & Zarnikau, J., 2016. "Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets," Energy Policy, Elsevier, vol. 92(C), pages 299-312.
  81. Longstaff, Francis & Wang, Ashley, 2002. "Electricity Forward Prices: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt7mh2m2bt, Anderson Graduate School of Management, UCLA.
  82. Huisman, Ronald & Kilic, Mehtap, 2012. "Electricity Futures Prices: Indirect Storability, Expectations, and Risk Premiums," Energy Economics, Elsevier, vol. 34(4), pages 892-898.
  83. Rene Carmona & Michael Coulon & Daniel Schwarz, 2012. "Electricity price modeling and asset valuation: a multi-fuel structural approach," Papers 1205.2299, arXiv.org.
  84. Bertsch, Joachim, 2015. "Is an inefficient transmission market better than none at all? On zonal and nodal pricing in electricity systems," EWI Working Papers 2015-5, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
  85. Ren\'e A\"id & Luciano Campi & Delphine Lautier, 2015. "A note on the spot-forward no-arbitrage relations in a trading-production model for commodities," Papers 1501.00273, arXiv.org, revised Apr 2015.
  86. repec:dau:papers:123456789/11029 is not listed on IDEAS
  87. Hipòlit Torró & Julio Lucia, 2008. "Short-term electricity futures prices: Evidence on the time-varying risk premium," Working Papers. Serie EC 2008-08, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  88. ABADA, Ibrahim & EHRENMANN, Andreas & SMEERS, Yves, 2014. "Endogenizing long-term contracts in gas market models," CORE Discussion Papers 2014036, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  89. Woo, C.K. & Sreedharan, P. & Hargreaves, J. & Kahrl, F. & Wang, J. & Horowitz, I., 2014. "A review of electricity product differentiation," Applied Energy, Elsevier, vol. 114(C), pages 262-272.
  90. George Daskalakis, Lazaros Symeonidis, Raphael N. Markellos, 2015. "Electricity futures prices in an emissions constrained economy: Evidence from European power markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  91. repec:dui:wpaper:1504 is not listed on IDEAS
  92. Karakatsani Nektaria V & Bunn Derek W., 2010. "Fundamental and Behavioural Drivers of Electricity Price Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-42, September.
  93. Lion Hirth, 2013. "The Optimal Share of Variable Renewables. How the Variability of Wind and Solar Power Affects their Welfare-optimal Deployment," Working Papers 2013.90, Fondazione Eni Enrico Mattei.
  94. Geman, Hélyette & Roncoroni, Andrea, 2003. "A Class of Marked Point Processes for Modelling Electricity Prices," ESSEC Working Papers DR 03004, ESSEC Research Center, ESSEC Business School.
  95. Guthrie, Graeme & Videbeck, Steen, 2007. "Electricity spot price dynamics: Beyond financial models," Energy Policy, Elsevier, vol. 35(11), pages 5614-5621, November.
  96. Lo Prete, Chiara & Norman, Catherine S., 2013. "Rockets and feathers in power futures markets? Evidence from the second phase of the EU ETS," Energy Economics, Elsevier, vol. 36(C), pages 312-321.
  97. Chi-Keung Woo, Ira Horowitz, Brian Horii, Ren Orans, and Jay Zarnikau, 2012. "Blowing in the Wind: Vanishing Payoffs of a Tolling Agreement for Natural-gas-fired Generation of Electricity in Texas," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
  98. Fleten, Stein-Erik & Hagen, Liv Aune & Nygård, Maria Tandberg & Smith-Sivertsen, Ragnhild & Sollie, Johan M., 2015. "The overnight risk premium in electricity forward contracts," Energy Economics, Elsevier, vol. 49(C), pages 293-300.
  99. Daskalakis, George & Markellos, Raphael N., 2009. "Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext," Energy Policy, Elsevier, vol. 37(7), pages 2594-2604, July.
  100. Niu, Shilei & Insley, Margaret, 2016. "An options pricing approach to ramping rate restrictions at hydro power plants," Journal of Economic Dynamics and Control, Elsevier, vol. 63(C), pages 25-52.
  101. Rubin, Ofir D. & Babcock, Bruce A., 2011. "A novel approach for modeling deregulated electricity markets," Energy Policy, Elsevier, vol. 39(5), pages 2711-2721, May.
  102. Sandro Sapio, 2009. "Modelling the distribution of day-ahead electricity returns: a comparison," LEM Papers Series 2009/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  103. Jiri Chod & Nils Rudi & Jan A. Van Mieghem, 2010. "Operational Flexibility and Financial Hedging: Complements or Substitutes?," Management Science, INFORMS, vol. 56(6), pages 1030-1045, June.
  104. Benth, Fred Espen & Biegler-König, Richard & Kiesel, Rüdiger, 2013. "An empirical study of the information premium on electricity markets," Energy Economics, Elsevier, vol. 36(C), pages 55-77.
  105. Ben-Moshe, Ori & Rubin, Ofir D., 2015. "Does wind energy mitigate market power in deregulated electricity markets?," Energy, Elsevier, vol. 85(C), pages 511-521.
  106. Deng, S.J. & Oren, S.S., 2006. "Electricity derivatives and risk management," Energy, Elsevier, vol. 31(6), pages 940-953.
  107. Villaplana, Pablo, 2003. "Pricing power derivatives: a two-factor jump-diffusion approach," DEE - Working Papers. Business Economics. WB wb031805, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  108. Moutinho, Victor & Vieira, Joel & Carrizo Moreira, António, 2011. "The crucial relationship among energy commodity prices: Evidence from the Spanish electricity market," Energy Policy, Elsevier, vol. 39(10), pages 5898-5908, October.
  109. Sezgen, Osman & Goldman, C.A. & Krishnarao, P., 2007. "Option value of electricity demand response," Energy, Elsevier, vol. 32(2), pages 108-119.
  110. Asche, Frank & Misund, Bard & Oglend, Atle, 2015. "Production Risk and the Futures Price Risk Premium?," UiS Working Papers in Economics and Finance 2015/13, University of Stavanger.
  111. Möller, Christoph & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Balancing energy strategies in electricity portfolio management," Energy Economics, Elsevier, vol. 33(1), pages 2-11, January.
  112. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May.
  113. de Jong, C.M., 2005. "The Nature of Power Spikes: a regime-switch approach," ERIM Report Series Research in Management ERS-2005-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  114. Haugom, Erik & Ullrich, Carl J., 2012. "Market efficiency and risk premia in short-term forward prices," Energy Economics, Elsevier, vol. 34(6), pages 1931-1941.
  115. Chevallier, Julien, 2013. "Variance risk-premia in CO2 markets," Economic Modelling, Elsevier, vol. 31(C), pages 598-605.
  116. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2007. "Electricity Portfolio Management: Optimal Peak / Off-Peak Allocations," ERIM Report Series Research in Management ERS-2007-089-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  117. Reckling, Dennis, 2016. "Variance risk premia in CO2 markets: A political perspective," Energy Policy, Elsevier, vol. 94(C), pages 345-354.
  118. Mauritzen, Johannes & Tangerås, Thomas, 2014. "Real-time versus Day-ahead Market Power in a Hydro-based Electricity Market," Working Paper Series 1009, Research Institute of Industrial Economics.
  119. Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  120. Lazarczyk, Ewa, 2016. "Market-specific news and its impact on forward premia on electricity markets," Energy Economics, Elsevier, vol. 54(C), pages 326-336.
  121. Andreas Wagner, 2014. "Residual Demand Modeling and Application to Electricity Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  122. González-Pedraz, Carlos & Cartea, Álvaro, 2010. "How much should we pay for interconnecting electricity markets? A real options approach," DEE - Working Papers. Business Economics. WB wb103206, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  123. Bloys van Treslong, A. & Huisman, R., 2009. "A Comment on: Storage and the Electricity Forward Premium," ERIM Report Series Research in Management ERS-2009-042-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  124. Miha Troha & Raphael Hauser, 2014. "Calculation of a power price equilibrium," Papers 1409.6645, arXiv.org.
  125. Alexander Boogert & Dominique Dupont, 2007. "When Supply Meets Demand: The Case of Hourly Spot Electricity Prices," Birkbeck Working Papers in Economics and Finance 0707, Birkbeck, Department of Economics, Mathematics & Statistics.
  126. Dahal, Keshav & Al-Arfaj, Khalid & Paudyal, Krishna, 2015. "Modelling generator maintenance scheduling costs in deregulated power markets," European Journal of Operational Research, Elsevier, vol. 240(2), pages 551-561.
  127. Bloys van Treslong, Adriaan & Huisman, Ronald, 2010. "A comment on: Storage and the electricity forward premium," Energy Economics, Elsevier, vol. 32(2), pages 321-324, March.
  128. Elliott, Robert J. & Lyle, Matthew R. & Miao, Hong, 2010. "A model for energy pricing with stochastic emission costs," Energy Economics, Elsevier, vol. 32(4), pages 838-847, July.
  129. 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.
  130. Marckhoff, Jan & Wimschulte, Jens, 2009. "Locational price spreads and the pricing of contracts for difference: Evidence from the Nordic market," Energy Economics, Elsevier, vol. 31(2), pages 257-268, March.
  131. Huisman, R. & Mahieu, R.J. & Schlichter, F., 2009. "Electricity portfolio management : Optimal peak/off-peak allocations," Other publications TiSEM f880b2e6-c56c-483c-9334-9, Tilburg University, School of Economics and Management.
  132. Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016. "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports HSC/16/10, Hugo Steinhaus Center, Wroclaw University of Technology.
  133. Longstaff, Francis A & Wang, Ashley, 2002. "ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt3mw4q41x, Anderson Graduate School of Management, UCLA.
  134. Haikel Khalfallah & Vincent Rious, 2013. "A game theoretical analysis of the design options of the real-time electricity market," Post-Print halshs-00816355, HAL.
  135. René Aïd & Gilles Chemla & Arnaud Porchet & Nizar Touzi, 2011. "Hedging and Vertical Integration in Electricity Markets," Management Science, INFORMS, vol. 57(8), pages 1438-1452, August.
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