Risk Premia in Electricity Forward Prices
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.
Year of publication: |
2006
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Authors: | Pavel, Diko ; Steve, Lawford ; Valerie, Limpens |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708. - Vol. 10.2006, 3, p. 1-24
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Publisher: |
De Gruyter |
Saved in:
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