Risk Premia in Electricity Forward Prices

DOI10.2202/1558-3708.1358zbMath1260.91174OpenAlexW2077447161MaRDI QIDQ5452749

Valerie Limpens, Pavel Diko, Steve Lawford

Publication date: 4 April 2008

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1358

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Higher moments in the fundamental specification of electricity forward prices ⋮ Modelling Electricity Futures by Ambit Fields ⋮ Modelling the Structure of Long-Term Electricity Forward Prices at Nord Pool ⋮ Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model ⋮ The Risk Premium and the Esscher Transform in Power Markets

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