Diko, Pavel; Lawford, Steve; Limpens, Valerie - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 3
We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the...