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Volatility in electricity derivative markets: the Samuelson effect revisited

Citations

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Cited by:

  1. Filippos Ioannidis & Kyriaki Kosmidou & Panayiotis Theodossiou, 2025. "Spillovers Into the German Electricity Market From the Gas, Coal, and CO2 Emissions Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1253-1277, September.
  2. Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2021. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Energy Economics, Elsevier, vol. 95(C).
  3. Guerra Vallejos, Ernesto & Bobenrieth Hochfarber, Eugenio & Bobenrieth Hochfarber, Juan & Wright, Brian D., 2021. "Solving dynamic stochastic models with multiple occasionally binding constraints," Economic Modelling, Elsevier, vol. 105(C).
  4. Ren'e Aid & Andrea Cosso & Huy^en Pham, 2020. "Equilibrium price in intraday electricity markets," Papers 2010.09285, arXiv.org.
  5. Scarcioffolo, Alexandre Ribeiro & Etienne, Xiaoli L., 2019. "How connected are the U.S. regional natural gas markets in the post-deregulation era? Evidence from time-varying connectedness analysis," Journal of Commodity Markets, Elsevier, vol. 15(C), pages 1-1.
  6. Han, Lin & Kordzakhia, Nino & Trück, Stefan, 2020. "Volatility spillovers in Australian electricity markets," Energy Economics, Elsevier, vol. 90(C).
  7. Thomas Deschatre & Xavier Warin, 2023. "A Common Shock Model for multidimensional electricity intraday price modelling with application to battery valuation," Papers 2307.16619, arXiv.org.
  8. Robert Brooks & Pavel Teterin, 2020. "Samuelson hypothesis, arbitrage activity, and futures term premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(9), pages 1420-1441, September.
  9. Annika Kemper & Maren Diane Schmeck, 2025. "The market price of jump risk for delivery periods: pricing of electricity swaps with geometric averaging," Mathematics and Financial Economics, Springer, volume 19, number 3, December.
  10. Brooks, Robert & Brooks, Joshua A., 2022. "Samuelson hypothesis and carry arbitrage: U.S. and China," Journal of International Money and Finance, Elsevier, vol. 128(C).
  11. Thomas Deschatre & Pierre Gruet, 2021. "Electricity intraday price modeling with marked Hawkes processes," Papers 2103.07407, arXiv.org, revised Mar 2021.
  12. Guo, Zi-Yi, 2021. "Price volatilities of bitcoin futures," Finance Research Letters, Elsevier, vol. 43(C).
  13. Delphine H. Lautier & Franck Raynaud & Michel A. Robe, 2019. "Shock Propagation Across the Futures Term Structure: Evidence from Crude Oil Prices," The Energy Journal, , vol. 40(3), pages 125-154, May.
  14. Piergiacomo Sabino, 2021. "Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type," Papers 2103.13252, arXiv.org.
  15. Zhang, Dayong, 2017. "Oil shocks and stock markets revisited: Measuring connectedness from a global perspective," Energy Economics, Elsevier, vol. 62(C), pages 323-333.
  16. Abdullah, Mohammad & Abakah, Emmanuel Joel Aikins & Wali Ullah, G M & Tiwari, Aviral Kumar & Khan, Isma, 2023. "Tail risk contagion across electricity markets in crisis periods," Energy Economics, Elsevier, vol. 127(PB).
  17. Delphine Lautier & Franck Raynaud & Michel Robe, 2017. "Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices," Post-Print hal-01781761, HAL.
  18. V., Ernesto Guerra & H., Eugenio Bobenrieth & H., Juan Bobenrieth & Wright, Brian D., 2023. "Endogenous thresholds in energy prices: Modeling and empirical estimation," Energy Economics, Elsevier, vol. 121(C).
  19. Piergiacomo Sabino, 2021. "Normal Tempered Stable Processes and the Pricing of Energy Derivatives," Papers 2105.03071, arXiv.org.
  20. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
  21. René Aid & Andrea Cosso & Huyên Pham, 2022. "Equilibrium price in intraday electricity markets," Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 517-554, April.
  22. Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).
  23. Hoang‐Long Phan & Ralf Zurbruegg, 2020. "The time‐to‐maturity pattern of futures price sensitivity to news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 126-144, January.
  24. Roza Galeeva, 2025. "In Pursuit of Samuelson for Commodity Futures: How to Parameterize and Calibrate the Term Structure of Volatilities," Commodities, MDPI, vol. 4(3), pages 1-31, July.
  25. Lyu, Chenyan & Scholtens, Bert, 2022. "Is the Global Carbon Market Integrated? Return and Volatility Connectedness in ETS Systems," Working Papers 7-2022, Copenhagen Business School, Department of Economics, revised 08 Jun 2022.
  26. Dejan Živkov & Slavica Manić & Ivan Pavkov, 2022. "Nonlinear examination of the ‘Heat Wave’ and ‘Meteor Shower’ effects between spot and futures markets of the precious metals," Empirical Economics, Springer, vol. 63(2), pages 1109-1134, August.
  27. Zhao, Wenhui & Zhang, Jiuyang & Li, Ruan & Zha, Ruiming, 2021. "A transaction case analysis of the development of generation rights trading and existing shortages in China," Energy Policy, Elsevier, vol. 149(C).
  28. Abakah, Emmanuel Joel Aikins & Hossain, Sahib & Abdullah, Mohammad & Goodell, John W., 2024. "Global uncertainty factors and price connectedness between US electricity and blockchain markets: Findings from an R-square connectedness approach," Finance Research Letters, Elsevier, vol. 59(C).
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