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Explaining time-varying risk of electricity forwards : trading activity and news announcements

Schulz, Frowin C. - 2010 - 2nd version: March 25, 2011

decomposing realized volatility in its continuous and discontinuous jump component. First, we analyze the relation between … volatility and trading activity. Coherent with existing studies we find that the driving factor of the relation between … Data ; Realized Volatility ; Price Jump ; Trading Activity ; Urgent Market Message …

Persistent link: https://www.econbiz.de/10008989697

What Fuels the Volatility of Electricity Prices?

Saretto, Alessio - 2019

electricity price volatility. We use emergency outages of coal generators as an exogenous source of variation in the power …

Persistent link: https://www.econbiz.de/10012893936

Combining Value and Momentum : Evidence from the Nordic Equity Market

Grobys, Klaus - 2018

This is the first paper that explores Fisher, Shah and Titman's (2016) average ranking approach for the value and momentum strategy in the Nordic equity market offering an exceptional experimental environment. Our results indicate that in the Nordic stock markets, the value anomaly offered...

Persistent link: https://www.econbiz.de/10012913357

Liquidity and Risk Premia in Electricity Futures

Bevin-McCrimmon, Fergus - 2016

Research on electricity futures markets has to date not explored the role that market liquidity may play in determining risk premia. Further, no detailed empirical examination of both liquidity and risk premia in the New Zealand electricity futures market are discernible. Using data from October...

Persistent link: https://www.econbiz.de/10012977446