This paper provides insight in the time-varying relation between electricity futures prices and fundamentals in the … marginal costs of production, we argue that the relation between electricity futures prices and futures prices of underlying … model that linearly relates electricity futures prices to the marginal costs of production and calculate the log …

of their output. Being sold on a market place, it makes sense to expect that electricity market prices somehow reflect … to the electricity market price.It is often assumed that the pass-through rate of emission costs in electricity prices is … constant within a specific time period. We argue that this is unlikely as electricity is produced by suppliers that apply …

Australian electricity markets. Examining ex-post risk premiums in futures markets, we find positive and significant risk … premiums for several of the considered regions. Therefore, electricity futures prices cannot be considered as an unbiased … electricity market. We also relate realized premiums to variables such as spot price levels, volatility, skewness and kurtosis …

) on the futures market of electricity, gas, and coal. Our findings seem to confirm that, as expected, electricity returns …-run restrictions and two lags shows that lagged returns of allowances affect current returns of allowances and energy futures prices …. Finally, an impulse-response analysis seems to corroborate that electricity futures returns suffer the consequences from …

We analyze the risk premium on electricity forward contracts traded for the Nordic and German/Austrian electricity … approach. The derivatives in these markets can be characterized as trading products and hedging products. Each contract shows a … on the hedging pattern of producers and retailers. Incorporating this in regressions we find that there are higher risk …