The purpose of this paper is to examine empirically the real options to shutdown, startup, and abandon existing production assets using detailed information for 1,121 individual power plants for the period 2001--2009, a total of 8,189 plant-year observations. We find strong evidence of real...

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...

We use high frequency real time spot prices and day-ahead forward prices from the Pennsylvania–New Jersey–Maryland wholesale electricity market to calculate, describe, and forecast spot price volatility. We introduce the concept of forward realized volatility calculated from day-ahead...