This paper deals with the question how an electricity end-consumer or distribution company should structure its portfolio with energy forward contracts. This paper introduces a one period framework to determine optimal positions in peak and off-peak contracts in order to purchase future...

This paper deals with the question how an electricity end-consumer or distribution company should structure its portfolio with energy forward contracts. This paper introduces a one period framework to determine optimal positions in peak and off-peak contracts in order to purchase future...

Electricity is not storable. As a consequence, electricity demand and supply need to be in balance at any moment in time as a shortage in production volume cannot be compensated with supply from inventories. However, if the installed power supply capacity is very flexible, variation in demand...

The models from the GARCH family are often estimated by maximum likelihood method, either parametrically or non-parametrically. Since the parametric estimation procedure is based on an a priori distribution, its misspecification can lead to the inconsistency of the estimators. Therefore...

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...