Shawky, Hany A.; Marathe, Achla; Barrett, Christopher L. - In: Journal of Futures Markets 23 (2003) 10, pp. 931-955
In this article we investigate the statistical properties of wholesale electricity spot and futures prices traded on the New York Mercantile Exchange for delivery at the California–Oregon Border. Using daily data for the years 1998 and 1999, we find that many of the characteristics of the...