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The relationship between day-ahead and futures prices in the electricity markets : an empirical analysis on Italy, France, Germany and Switzerland

Bonaldo, Cinzia; Caporin, Massimiliano; Fontini, Fulvio - 2021

Persistent link: https://www.econbiz.de/10013256293

Spanning Tests for Assets with Option-Like Payoffs : The Case of Hedge Funds

Karehnke, Paul - 2020

We draw on the skewness literature to propose regression-based performance evaluation tests designed for investments with option-like returns. These tests deliver conclusions valid for all risk-averse mean-variance-skewness investors and can better account for non-linearities in returns than...

Persistent link: https://www.econbiz.de/10012855976

Derivative Choices of Retail Investors : Evidence from Germany

Nicolaus, David - 2010

During the last few years, retail derivative markets have observed a strong growth in a number of financial retail … markets around the world. Using a unique data set, we confront in this paper several lines of arguments that have been … of determinants that are likely to affect the derivative choices of retail investors. We further analyze the performance …

Persistent link: https://www.econbiz.de/10013135620

Hedging performance and multiscale relationships in the German electricity spot and futures markets

Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

Persistent link: https://www.econbiz.de/10011555959

The relationship between day-ahead and future prices in electricity markets : an empirical analysis on Italy, France, Germany, and Switzerland

Bonaldo, Cinzia; Caporin, Massimiliano; Fontini, Fulvio - In: Energy economics 110 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013349919

The German Sub-National Government Bond Market : Evolution, Yields and Liquidity

Schulz, Alexander - 2016

The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals...

Persistent link: https://www.econbiz.de/10012991246

Risk premia in the German electricity futures market

Pietz, Matthäus - 2009

The mechanism behind price formation in electricity futures markets is still under discussion. Theory suggests that hedging pressure caused by deviating risk preferences is the most promising approach. This paper contributes to this discussion through an empirical investigation of electricity...

Persistent link: https://www.econbiz.de/10003858199

Intra-Day Risk Premia in European Electricity Forward Markets

Ronn, Ehud I. - 2009

Using a detailed data set of electricity forward prices in Central Europe, we compute the intra-day risk premium and market price of risk for the two electricity exchanges European Energy Exchange (EEX) and Energy Exchange Austria (EXAA). Given the significant volatility and jump risk of...

Persistent link: https://www.econbiz.de/10013158115

Risk Premia in the German Electricity Futures Market

Pietz, Matthäus - 2009

Persistent link: https://www.econbiz.de/10014208135

A High-Frequency Investigation of the Interaction between Volatility and DAX Returns

Masset, Philippe; Wallmeier, Martin - 2023

One of the most noticeable stylized facts in finance is that stock index returns are negatively correlated with changes in volatility. The economic rationale for the effect is still controversial. The competing explanations have different implications for the origin of the relationship: Are...

Persistent link: https://www.econbiz.de/10014257347

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