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Market efficiency and risk premia in short-term forward prices

Haugom, Erik; Ullrich, Carl J. - In: Energy Economics 34 (2012) 6, pp. 1931-1941

Using recursive estimation and rolling windows over extended sample periods we examine the time-varying relationship between spot and short-term forward prices in the Pennsylvania–New Jersey–Maryland (PJM) wholesale electricity market. We examine theoretical models of forward risk premia in...

Persistent link: https://www.econbiz.de/10010868730

Assessing the influence of spot price predictability on electricity futures hedging

Torro, Hipolit - Volkswirtschaftliche Fakultät, … - 2009

minimum variance hedge ratios are computed. The poor effectiveness of hedging strategies obtained in previous studies on … electricity was because the standard hedging approach underestimates the effectiveness of hedging. In the empirical study made in … hedging duration (one to three weeks) and the analysed sub-period (in-sample and out-of-sample sub-periods). …

Persistent link: https://www.econbiz.de/10008536830

Forecasting Weekly Electricity Prices at Nord Pool

Torró, Hipòlit - Fondazione ENI Enrico Mattei (FEEM) - 2007

This paper analyses the forecasting power of weekly futures prices at Nord Pool. The forecasting power of futures prices is compared to an ARIMAX model of the spot price. The time series model contains lagged external variables such as: temperature, precipitation, reservoir levels and the basis...

Persistent link: https://www.econbiz.de/10005008044

Does the Black-Scholes formula work for electricity markets? A nonparametric approach

Hjalmarsson, Erik - Nationalekonomiska institutionen, Handelshögskolan - 2003

Despite the high volatilities recorded for electricity prices, there seems to be little demand for options on electricity. One reason for the disinterest in electricity options could arise from uncertainty about how to price these options. This study uses recent econometric advances to...

Persistent link: https://www.econbiz.de/10005423922

Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis

Zator, Michal - Hugo Steinhaus Center for Stochastic Methods, … - 2013

This work discusses potential pitfalls of applying linear regression models to explaining the relationship between spot and futures prices in electricity markets. We briefly introduce the theory for the analysis of the spot-futures price relationship and highlight selected issues of multiple...

Persistent link: https://www.econbiz.de/10010686015

How to allocate forward contracts: The case of electricity markets

de Frutos, María-Ángeles; Fabra, Natalia - In: European Economic Review 56 (2012) 3, pp. 451-469

Several regulatory authorities worldwide have imposed forward contract commitments on electricity producers as a way to mitigate their market power. In this paper we analyze the impact of such commitments on equilibrium outcomes in a model that reflects important institutional and structural...

Persistent link: https://www.econbiz.de/10011048608

An empirical study of the information premium on electricity markets

Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger - In: Energy Economics 36 (2013) C, pp. 55-77

Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction of emission certificates and the German “Atom Moratorium” we show...

Persistent link: https://www.econbiz.de/10011039524

Optimal investment strategies in decentralized renewable power generation under uncertainty

Fleten, Stein-Erik; Maribu, Karl Magnus; Wangensteen, Ivar - Volkswirtschaftliche Fakultät, … - 2005

This paper presents a method for evaluating investments in decentralized renewable power generation under price un certainty. The analysis is applicable for a client with an electricity load and a renewable resource that can be utilized for power generation. The investor has a deferrable...

Persistent link: https://www.econbiz.de/10005623261

Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets

Russo, Francesco; Oudjane, Nadia; Goutte, Stéphane - Université Paris-Dauphine (Paris IX) - 2013

an algori thm, which is based on the celebrated Föllmer-Schweizer decomposition for solving the mean-variance hedging … is devoted in the choice of rebalancing dates and its impact on the hedging error, regarding the payoff regularity and …

Persistent link: https://www.econbiz.de/10011082464

Analyzing rebound effects

Schettkat, Ronald - 2009

Are efficiency improvements in the use of natural resources the key for sustainable development, are they the solution to environmental problems, or will second round effects - so-called rebound effects - compensate or even overcompensate potential savings, will they fire back? The answer to...

Persistent link: https://www.econbiz.de/10003882199