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Selective hedging in hydro-based electricity companies
Sanda, Gaute Egeland; Olsen, Eirik Tandberg; Fleten, … - In: Energy Economics 40 (2013) C, pp. 326-338
electricity production using the power derivatives available at NASDAQ OMX Commodities. In their hedging policy, these companies …We analyze risk management trends in electricity commodity markets using the production and transaction data and … written hedging policies of 12 Norwegian hydropower companies. The scope of our analysis is the hedging of physical …
Persistent link: https://www.econbiz.de/10010718759
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The role of storage in a competitive electricity market and the effects of climate change
Evans, Lewis; Guthrie, Graeme; Lu, Andrea - In: Energy Economics 36 (2013) C, pp. 405-418
This paper uses a new model of a competitive electricity market to investigate the role of storage in markets dominated by hydro generation. Competition among generators leads to an endogenous shadow price of stored water, which facilitates the efficient intra-day and inter-season substitution...
Persistent link: https://www.econbiz.de/10010616842
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A bilevel model for electricity retailers' participation in a demand response market environment
Zugno, Marco; Morales, Juan Miguel; Pinson, Pierre; … - In: Energy Economics 36 (2013) C, pp. 182-197
Demand response programmes are seen as one of the contributing solutions to the challenges posed to power systems by the large-scale integration of renewable power sources, mostly due to their intermittent and stochastic nature. Among demand response programmes, real-time pricing schemes for...
Persistent link: https://www.econbiz.de/10010616857
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Market efficiency and risk premia in short-term forward prices
Haugom, Erik; Ullrich, Carl J. - In: Energy Economics 34 (2012) 6, pp. 1931-1941
Using recursive estimation and rolling windows over extended sample periods we examine the time-varying relationship between spot and short-term forward prices in the Pennsylvania–New Jersey–Maryland (PJM) wholesale electricity market. We examine theoretical models of forward risk premia in...
Persistent link: https://www.econbiz.de/10010868730
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An empirical study of the information premium on electricity markets
Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger - In: Energy Economics 36 (2013) C, pp. 55-77
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...
Persistent link: https://www.econbiz.de/10011039524
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On the Use of the Moment-Matching Technique for Pricing and Hedging Multi-Asset Spread Options
Pellegrino, Tommaso - 2019
Greeks can be considered as the benchmark since no exact formula is available for the pricing and hedging of multi …
Persistent link: https://www.econbiz.de/10012905062
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A model for hedging load and price risk in the Texas electricity market
Coulon, Michael; Powell, Warren B.; Sircar, Ronnie - In: Energy Economics 40 (2013) C, pp. 976-988
Energy companies with commitments to meet customers' daily electricity demands face the problem of hedging load and … hedging decisions, while also intuitively capturing the key features of the electricity market. Driven by three stochastic … forwards and some options, products often used for hedging purposes. Making use of these results, we illustrate in a simple …
Persistent link: https://www.econbiz.de/10010718752
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Humps in the volatility structure of the crude oil futures market: New evidence
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy Economics 40 (2013) C, pp. 989-1000
feature is more pronounced when the market is more volatile, and delivers better pricing as well as hedging performance under … various dynamic factor hedging schemes. …
Persistent link: https://www.econbiz.de/10010718761
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Implementing a load duration curve of electricity demand in a general equilibrium model
Wiskich, Anthony - In: Energy Economics 45 (2014) C, pp. 373-380
Top-down computable general equilibrium models of energy–economy interactions have a limited representation of the electricity sector, typically using constant elasticities of substitution between generation types. Detailed bottom-up electricity models generally have embedded load duration...
Persistent link: https://www.econbiz.de/10010939440
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Electrification and productivity growth in Korean manufacturing plants
Jung, Yonghun; Lee, Seong-Hoon - In: Energy Economics 45 (2014) C, pp. 333-339
This paper presents a theoretical model of firm-specific productivity growth that incorporates technological knowledge by electrification and tests the model empirically. Our theoretical explanations suggest that the energy-transformation from fossil fuel to electricity by electrification could...
Persistent link: https://www.econbiz.de/10010939448