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Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce

IMPACT FACTOR 2017: 0.855

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Source Normalized Impact per Paper (SNIP) 2017: 0.894

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Volume 10, Issue 3


Risk Premia in Electricity Forward Prices

Pavel Diko / Steve Lawford / Valerie Limpens
Published Online: 2006-09-22 | DOI: https://doi.org/10.2202/1558-3708.1358

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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Published Online: 2006-09-22

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

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