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Correlations Among Forward Returns In The Nordic Electricity Market

Author

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  • DENNIS FRESTAD

    (University of Agder, Serviceboks 422, 4604 Kristiansand, Norway)

Abstract

I analyze empirical correlations of electricity forward returns from the perspective of a random field model that specifies the correlations in terms of the temporal separation between forward maturities. It turns out that temporal separation cannot fully account for the empirical forward return correlations. Specifically, the relation between correlations and temporal separation does not seem to be invariant across segments of the electricity forward market or trading periods.

Suggested Citation

  • Dennis Frestad, 2009. "Correlations Among Forward Returns In The Nordic Electricity Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(05), pages 589-603.
    • Handle: RePEc:wsi:ijtafx:v:12:y:2009:i:05:n:s0219024909005385
    DOI: 10.1142/S0219024909005385
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