Risk premia in electricity forward prices

被引：0
|
作者：
Diko, Pavel
Lawford, Steve
Limpens, Valerie
机构：
来源：
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | 2006年 / 10卷 / 03期
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中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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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页数：23
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