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...

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...

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...

We consider the problem of pricing a derivative contract written on precipitation at a specific location during a given period of time. We propose a jump Markov process model for the stochastic dynamics of the underlying precipitation. Our model is based on pulse Poisson process models widely...

Vector autoregressions (VAR's) are an important tool in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue here, by investigating maximum likelihood estimators (MLE's) in the context of a purely nonstationary...

The finite-sample null distribution of the Jarque-Bera Lagrange multiplier test for normality differs considerably from the asymptotic X2 (2). However, asymptotic critical values are commonly used in applied work, even for relatively small sample sizes. Here, we develop very accurate response...