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Electricity derivatives : an application to the futures Italian market
Casula, Laura; Masala, Giovanni - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 637-666
Persistent link: https://www.econbiz.de/10012616871
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Market makers and liquidity premium in electricity futures markets
Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa - In: The energy journal 43 (2022) 2, pp. 91-109
Persistent link: https://www.econbiz.de/10013187836
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Risk Premiums in Interconnected Australian Electricity Futures Markets
Handika, Rangga - 2013
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 …
Persistent link: https://www.econbiz.de/10013080530
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Hourly price forward curves for electricity markets : construction, dynamics and stochastics
Saethero, Audun Sviland - 2018
Persistent link: https://www.econbiz.de/10012260226
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On the importance of the long-term seasonal component in day-ahead electricity price forecasting
Nowotarski, Jakub; Weron, Rafał - In: Energy economics 57 (2016), pp. 228-235
Persistent link: https://www.econbiz.de/10011698464
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Volatility in electricity derivative markets : the Samuelson effect revisited
Jaeck, Edouard; Lautier, Delphine - In: Energy economics 59 (2016), pp. 300-313
Persistent link: https://www.econbiz.de/10011699632
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A space-time random field model for electricity forward prices
Benth, Fred Espen; Paraschiv, Florentina - In: Journal of banking & finance 95 (2018), pp. 203-216
Persistent link: https://www.econbiz.de/10011966749
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Pricing of electricity futures based on locational price differences : the case of Finland
Junttila, Juha; Myllymäki, Valtteri; Raatikainen, Juhani - In: Energy economics 71 (2018), pp. 222-237
Persistent link: https://www.econbiz.de/10011943003
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Market efficiency and risk premium in the Turkish wholesale electricity market
Yilmaz, Mustafa Kemal; Kucukcolak, Necla I.; … - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 5, pp. 76-88
Persistent link: https://www.econbiz.de/10011951748
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Electricity forward curves with thin granularity : theory and empirical evidence in the hourly EPEXspot market
Caldana, Ruggero; Fusai, Gianluca; Roncoroni, Andrea - In: European journal of operational research : EJOR 261 (2017) 2, pp. 715-734
Persistent link: https://www.econbiz.de/10011738512