Risk Premia in Electricity Forward Prices

DOI10.2202/1558-3708.1358zbMATH Open1260.91174OpenAlexW2077447161MaRDI QIDQ5452749FDOQ5452749

Authors: Pavel Diko, Steve Lawford, Valerie Limpens 

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1358

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Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cited In (13)

• Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
• Hedging and vertical integration in electricity markets
• Pricing electricity forwards under future information on the stochastic mean-reversion level
• Modelling the Structure of Long-Term Electricity Forward Prices at Nord Pool
• The risk premium and the Esscher transform in power markets
• Modelling electricity futures by ambit fields
• A pricing measure to explain the risk premium in power markets
• Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in power markets
• Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
• Risky utilities
• Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market
• Higher moments in the fundamental specification of electricity forward prices
• A multifactor polynomial framework for long-term electricity forwards with delivery period

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