We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increment process for the low-frequency...

This work discusses potential pitfalls of applying linear regression models for explaining the relationship between spot and futures prices in electricity markets, in particular, the bias coming from the simultaneity problem, the effect of correlated measurement errors and the impact of...

Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction of emission certificates and the German “Atom Moratorium” we show...