Jump to ContentJump to Main Navigation

Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

5 Issues per year


IMPACT FACTOR 2014: 0.185
5-year IMPACT FACTOR: 0.344

SCImago Journal Rank (SJR) 2014: 0.217
Source Normalized Impact per Paper (SNIP) 2014: 0.377
Impact per Publication (IPP) 2014: 0.270

Mathematical Citation Quotient (MCQ) 2014: 0.01

VolumeIssuePage

Issues

Risk Premia in Electricity Forward Prices

Pavel Diko1 / Steve Lawford2 / Valerie Limpens3

1Electrabel S.A.,

2Electrabel S.A.,

3Electrabel S.A.,

Citation Information: Studies in Nonlinear Dynamics & Econometrics. Volume 10, Issue 3, ISSN (Online) 1558-3708, DOI: 10.2202/1558-3708.1358, September 2006

Publication History

Published Online:
2006-09-22

This article offers supplementary material which is provided at the end of the article.

We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the implied forward price behaviour. We then assess the term-structure and time-evolution of the risk premia for each of the markets.

Supplementary Article Materials

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[1]
Mara Madaleno and Carlos Pinho
Management of Environmental Quality: An International Journal, 2011, Volume 22, Number 5, Page 550
[2]
Yuewen Xiao, David B. Colwell, and Ramaprasad Bhar
Journal of Futures Markets, 2014, Page n/a
[3]
Luis M. Abadie and José M. Chamorro
Review of Financial Economics, 2009, Volume 18, Number 1, Page 10
[4]
Jan Marckhoff and Jens Wimschulte
Energy Economics, 2009, Volume 31, Number 2, Page 257
[5]
George Daskalakis and Raphael N. Markellos
Energy Policy, 2009, Volume 37, Number 7, Page 2594

Comments (0)

Please log in or register to comment.