Intra-day risk premia in European electricity forward markets

被引：0
|
作者：
Ronn, Ehud I. [1 ]
Wimschulte, Jens [2 ]
机构：
[1] Univ Texas Austin, Dept Finance, McCombs Sch Business, 1 Univ Stn,B6600, Austin, TX 78712 USA
[2] Univ Regensburg, Dept Business, D-93053 Regensburg, Germany
来源：
JOURNAL OF ENERGY MARKETS | 2009年 / 2卷 / 04期
关键词：
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using a detailed data set of electricity forward prices in central Europe, we compute the intra-day risk premium and market price of risk for the European Energy Exchange and Energy Exchange Austria. Given the significant volatility and jump risk of electricity prices, these closely linked markets offer an opportunity to study market participants' willingness to pay a premium to secure day-ahead delivery prices earlier in a trading day. Generally, we find a positive risk premium, leading to a statistically significant negative market price of risk, and the implication that forward prices are upward-biased predictors of expected electricity spot prices.
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收藏
页码：71 / 98
页数：28
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