Studies in Nonlinear Dynamics & Econometrics
Ed. by Mizrach, Bruce
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Risk Premia in Electricity Forward Prices
Citation Information: Studies in Nonlinear Dynamics & Econometrics. Volume 10, Issue 3, ISSN (Online) 1558-3708, DOI: https://doi.org/10.2202/1558-3708.1358, September 2006
- Published Online:
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.
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