In this paper, we provide empirical evidence on the market price of risk for delivery periods (MPDP) of electricity … electricity swaps in a geometric framework. In preparation for empirical investigations, we adjust the work by Kemper et al. (2022 …'s market price of risk into the classical one and the MPDP. In our empirical study, we analyze two types of models …

regional electricity markets in Australia, which are shown to be highly correlated in a previous study (Higgs, 2009). Bayesian …To model the price and price volatilities of the Australian wholesale spot electricity markets, the univariate … markets are modelled using multivariate GARCH models. Stochastic volatility (SV) models, as flexible alternatives to GARCH …