Risk premia in electricity forward prices

被引：0
|
作者：
Diko, Pavel
Lawford, Steve
Limpens, Valerie
机构：
来源：
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | 2006年 / 10卷 / 03期
关键词：
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页数：23
相关论文
共 50 条
  • [1] Identifying Risk Factors and Their Premia: A Study on Electricity Prices*
    Wei, Wei
    Lunde, Asger
    [J]. JOURNAL OF FINANCIAL ECONOMETRICS, 2023, 21 (05) : 1647 - 1679
  • [2] Market efficiency and risk premia in short-term forward prices
    Haugom, Erik
    Ullrich, Carl J.
    [J]. ENERGY ECONOMICS, 2012, 34 (06) : 1931 - 1941
  • [3] Intra-day risk premia in European electricity forward markets
    Ronn, Ehud I.
    Wimschulte, Jens
    [J]. JOURNAL OF ENERGY MARKETS, 2009, 2 (04) : 71 - 98
  • [4] Forward premia in electricity markets: A replication study
    Van Koten, Silvester
    [J]. ENERGY ECONOMICS, 2020, 89
  • [5] Market premia for renewables in Germany: The effect on electricity prices
    Frondel, Manuel
    Kaeding, Matthias
    Sommer, Stephan
    [J]. ENERGY ECONOMICS, 2022, 109
  • [6] Bond Risk Premia and Restrictions on Risk Prices
    Hevia, Constantino
    Sola, Martin
    [J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2018, 11 (04):
  • [7] Information in Electricity Forward Prices
    Michelfelder, Richard A.
    Pilotte, Eugene A.
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2020, 55 (08) : 2641 - 2664
  • [8] Revisiting Risk Premia in Electricity Markets
    Gianfreda, Angelica
    Scandolo, Giacomo
    [J]. MATHEMATICAL AND STATISTICAL METHODS FOR ACTUARIAL SCIENCES AND FINANCE, MAF 2022, 2022, : 291 - 296
  • [9] Risk premia in electricity derivatives markets
    Algieri, Bernardina
    Leccadito, Arturo
    Tunaru, Diana
    [J]. ENERGY ECONOMICS, 2021, 100
  • [10] Risk premia in the German day-ahead electricity market revisited: The impact of negative prices
    Valitov, Niyaz
    [J]. ENERGY ECONOMICS, 2019, 82 : 70 - 77
12345