The overnight risk premium in electricity forward contracts
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DOI: 10.1016/j.eneco.2014.12.022
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References listed on IDEAS
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Citations
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Cited by:
- van Koten, Silvester, 2021.
"The forward premium in electricity markets: An experimental study,"
Energy Economics, Elsevier, vol. 94(C).
- Silvester Van Koten, 2020. "The Forward Premium in Electricity Markets: An Experimental Study," CERGE-EI Working Papers wp656, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Junttila, Juha & Myllymäki, Valtteri & Raatikainen, Juhani, 2018. "Pricing of electricity futures based on locational price differences: The case of Finland," Energy Economics, Elsevier, vol. 71(C), pages 222-237.
- Koten, Silvester Van, 2020. "Forward premia in electricity markets: A replication study," Energy Economics, Elsevier, vol. 89(C).
- Marius Paschen, 2016. "The effect of intermittent renewable supply on the forward premium in German electricity markets," Working Papers V-397-16, University of Oldenburg, Department of Economics, revised Nov 2016.
- Claudio Monteiro & L. Alfredo Fernandez-Jimenez & Ignacio J. Ramirez-Rosado, 2020. "Predictive Trading Strategy for Physical Electricity Futures," Energies, MDPI, vol. 13(14), pages 1-24, July.
- Spodniak, Petr & Collan, Mikael, 2018. "Forward risk premia in long-term transmission rights: The case of electricity price area differentials (EPAD) in the Nordic electricity market," Utilities Policy, Elsevier, vol. 50(C), pages 194-206.
- Bevin-McCrimmon, Fergus & Diaz-Rainey, Ivan & McCarten, Matthew & Sise, Greg, 2018. "Liquidity and risk premia in electricity futures," Energy Economics, Elsevier, vol. 75(C), pages 503-517.
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More about this item
Keywords
Risk premium estimation; Electricity markets; Forward markets; Liquidity premium; Electricity swaps; Front product effect;All these keywords.
JEL classification:
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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