Volatility in electricity derivative markets: The Samuelson effect revisited
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DOI: 10.1016/j.eneco.2016.08.009
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More about this item
Keywords
Samuelson effect; Commodity futures; Energy derivative markets; Electricity; Volatility spillovers; Indirect storability;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
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