Search Results

Electricity Futures Prices: Indirect Storability, Expectations, and Risk Premiums,
Ronald Huisman and Mehtap Kilic, in Energy Economics (2012)
Keywords: Electricity futures prices; Risk premiums; Indirect storability;

Hedging with futures: Efficacy of GARCH correlation models to European electricity markets,
Giovanna Zanotti, Giampaolo Gabbi and Manuela Geranio, in Journal of International Financial Markets, Institutions and Money (2010)
Keywords: Hedge ratios Futures GARCH Correlation Electricity

European Electricity and interrelated Futures Markets: A cointegrated Vector Autoregressive Analysis,
Andreas Fritz, from University of Duisburg-Essen, Chair for Management Science and Energy Economics (2012)
Keywords: Energy, Cointegration, Electricity Market, Futures Market

The hedging effectiveness of electricity futures in the Spanish market,
Juan Ignacio Peña, in Finance Research Letters (2023)
Keywords: Electricity markets; Optimal hedge ratio; Futures contracts; Hedge effectiveness;

Assessing the influence of spot price predictability on electricity futures hedging,
Hipolit Torro, from University Library of Munich, Germany (2009)
Keywords: electricity markets; futures; hedging ratio;electricity price risk

Pricing of electricity futures based on locational price differences: The case of Finland,
Juha Junttila, Valtteri Myllymäki and Juhani Raatikainen, in Energy Economics (2018)
Keywords: Risk premium; Electricity futures; EPAD; Nordic electricity market; Arbitrage;

Modelling of the Electricity Futures Market,
Fred Espen Benth, Jūratė Šaltytė Benth and Steen Koekebakker, from World Scientific Publishing Co. Pte. Ltd. (2008)
Keywords: Electricity Market, Gas Market, Weather Derivatives, Temperature, Energy Market, Mean Reversion, Ornstein–Uhlenbeck Processes, Jump Processes, Levy Processes, Futures Contracts, Forward Contracts, Options,

Electricity Futures Prices in an Emissions Constrained Economy: Evidence from European Power Markets,
George Daskalakis, Lazaros Symeonidis and Raphael N. Markellos, in The Energy Journal (2015)
Keywords: Electricity futures; Emission Allowances; Risk premium; Futures pricing

The relationship between day-ahead and futures prices in the electricity markets: an empirical analysis on Italy, France, Germany and Switzerland,
Cinzia Bonaldo, Massimiliano Caporin and Fulvio Fontini, from Dipartimento di Scienze Economiche "Marco Fanno" (2021)
Keywords: electricity, prices, futures, spot, risk premium

Examination of the Spillover Effects among Natural Gas and Wholesale Electricity Markets Using Their Futures with Different Maturities and Spot Prices,
Tadahiro Nakajima and Yuki Toyoshima, in Energies (2020)
Keywords: spillover effect; natural gas; electricity; spot; futures

Risk premia in the German electricity futures market,
Matthäus Pietz, from Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS) (2009)
Keywords: Electricity, Electricity Market, Forward Market, Futures Market, Risk Premia, Risk Premium, Realised Risk Premia, Ex post Risk Premia

Analysing the Dynamic Impact of Electricity Futures on Revenue and Risks of Renewable Energy in China,
Zhang Yue and Arash Farnoosh, from HAL (2018)
Keywords: Electricity Market,Spot Prices,Futures Prices,Hedging Strategy

Analyzing the Dynamic Impact of Electricity Futures on Revenue and Risk of Renewable Energy in China,
Yue Zhang and Arash Farnoosh, from HAL (2019)
Keywords: Spot Prices,Electricity Market,Futures Prices,Hedging Strategy

Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China,
Yue Zhang and Arash Farnoosh, in Energy Policy (2019)
Keywords: Electricity market; Spot prices; Futures prices; Hedging strategy; Renewable energy;

The relationship between spot and futures prices in the Nord Pool electricity market,
Audun Botterud, Tarjei Kristiansen and Marija D. Ilic, in Energy Economics (2010)
Keywords: Electricity Spot markets Futures prices Convenience yield Risk premium

Revisiting the relationship between spot and futures prices in the Nord Pool electricity market,
Rafał Weron and Michał Zator, in Energy Economics (2014)
Keywords: Electricity market; Spot and futures prices; Risk premium; Convenience yield;

Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures,
Helder Sebastião, Pedro Godinho and Sjur Westgaard, in Scientific Annals of Economics and Business (continues Analele Stiintifice) (2020)
Keywords: Nord Pool, electricity futures, risk premium, machine learning, trading

Using Machine Learning to Profit on the Risk Premium of the Nordic Electricity Futures,
Helder Sebastião, Pedro Godinho and Sjur Westgaard, in Scientific Annals of Economics and Business (continues Analele Stiintifice) (2020)
Keywords: Nord Pool, electricity futures, risk premium, machine learning, trading

A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets,
Ignatieva Katja, in Studies in Nonlinear Dynamics & Econometrics (2014)
Keywords: Electricity modeling, nonparametric estimation, futures pricing, market price of risk

Time variation in European carbon pass-through rates in electricity futures prices,
Ronald Huisman and Mehtap Kiliç, in Energy Policy (2015)
Keywords: Emission rights; Pass-through rates; Kalman Filter; Electricity futures prices;

The connectedness features of German electricity futures over short and long maturities,
Angelica Gianfreda, Giacomo Scandolo and Derek Bunn, in Finance Research Letters (2024)
Keywords: Electricity futures; Contagion; Commodities; Energy crises; Connectedness; Sentiment;

Is Power Production Flexibility a Substitute for Storability? Evidence from Electricity Futures Prices,
Mehtap Kilic and Ronald Huisman, from Tinbergen Institute (2010)
Keywords: Electricity futures prices, forward risk premium, theory of storage, expectations theory

Revisiting the relationship between spot and futures prices in the Nord Pool electricity market,
Rafał Weron and Michał Zator, from Hugo Steinhaus Center, Wroclaw University of Science and Technology (2013)
Keywords: Electricity market; Spot and futures prices; Risk premium; Convenience yield;

Market Makers and Liquidity Premium in Electricity Futures Markets,
Juan Ignacio Peña and Rosa Rodriguez, in The Energy Journal (2022)
Keywords: Electricity markets; Futures markets; Liquidity premium; Forward premium; Immediacy; Market makers

Electricity derivatives: an application to the futures Italian market,
Laura Casula and Giovanni Masala, in Empirical Economics (2021)
Keywords: Electricity markets, Futures, Risk premium, Convenience yield, Linear regression, Partial least squares regression

Electricity futures prices: time varying sensitivity to fundamentals,
Stein-Erik Fleten, Ronald Huisman, Mehtap Kilic, Enrico Pennings and Sjur Westgaard, from Institut d'Economia de Barcelona (IEB) (2014)
Keywords: Electricity futures prices, prices of fossil fuels, time-varying coefficients, statespace model

ELECTRICITY FUTURES PRICE MODELING WITH LÉVY TERM STRUCTURE MODELS,
Francesca Biagini, Julia Bregman and Thilo Meyer-Brandis, in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
Keywords: Electricity futures market, interest rate term structure modeling, Lévy processes, Fourier transform techniques, electricity swing options

Low carbon futures: Confronting electricity challenges on island systems,
George Matthew, William Nuttall, Ben Mestel and Laurence S. Dooley, in Technological Forecasting and Social Change (2019)
Keywords: Low-carbon futures; Island electricity systems; System dynamics; Electricity transitions; Sustainable energy policy and investments;

Is flexible and dispatchable generation capacity rewarded in electricity futures markets? A multinational impact analysis,
Petr Spodniak and Valentin Bertsch, in Energy (2020)
Keywords: Financial risk management; Hedging; Futures markets; Electricity markets; Carbon market;

A Margin Design Method Based on the SPAN in Electricity Futures Market Considering the Risk of Power Factor,
Deqin Lin, Wenyang Deng and Siting Dai, in Energies (2022)
Keywords: electricity futures; green power; margin requirement; VaR; power factor

Carbon and environmental footprinting of low carbon UK electricity futures to 2050,
Helen Alderson, Gemma R. Cranston and Geoffrey P. Hammond, in Energy (2012)
Keywords: Carbon footprints; Environmental footprints; Electricity futures; Energy systems analysis; Sustainability; United Kingdom;

Analysis of futures and spot electricity markets under risk aversion,
Fernando S. Oliveira and Carlos Ruiz, in European Journal of Operational Research (2021)
Keywords: Electricity market; Futures prices; Non-cooperative games; Risk aversion; Supply chain management;

Short-term electricity futures prices: Evidence on the time-varying risk premium,
Hipolit Torro and Julio Lucia, from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2008)
Keywords: Prima de riesgo, futuros sobre la electricidad, Nord Pool risk premium, electricity futures, Nord Pool

Modelling electricity futures prices using seasonal path-dependent volatility,
Viviana Fanelli, Lucia Maddalena and Silvana Musti, in Applied Energy (2016)
Keywords: Electricity futures price; Forecast; Seasonal path-dependent volatility; Heath–Jarrow–Morton model; Option pricing;

Drivers of electricity price dynamics: Comparative analysis of spot and futures markets,
Stephania Mosquera-López and Anjali Nursimulu, in Energy Policy (2019)
Keywords: Renewable electricity; Spot and futures pricing; Merit-order effect; Structural breaks; Threshold regression;

Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany,
Fotis G. Kalantzis and Nikolaos Milonas, in Energy Economics (2013)
Keywords: Electricity futures market; Volatility clustering; Electricity spot markets; Spot market volatility; VECM-GARCH;

An empirical study on the interaction between EUA futures, coal, natural gas and electricity,
Wei Lu and Hao Yin, in International Journal of Green Economics (2012)
Keywords: EUA futures; VECM; vector error correction model; impulse response; futures market; price shocks; coal prices; natural gas prices; electricity prices; equilibrium relationship; fossil fuel futures; EU emission allowances; carbon emissions; EU Emissions Trading Scheme; greenhouse gases; GHG emissions; European Union.

Futures pricing in electricity markets based on stable CARMA spot models,
Fred Espen Benth, Claudia Klüppelberg, Gernot Müller and Linda Vos, in Energy Economics (2014)
Keywords: CARMA model; Electricity spot prices; Electricity futures prices; Continuous time linear model; Lévy process; Stable CARMA process; Risk premium; Robust filter;

Hedging Performance and Multiscale Relationships in the German Electricity Spot and Futures Markets,
Mara Madaleno and Carlos Pinho, in JRFM (2010)
Keywords: Dynamic and static hedging; electricity futures and spot prices; discrete and continuous wavelets coherence and phase; optimal hedge ratio; multivariate GARCH

VOLATILITY AND LIQUIDITY ON HIGH-FREQUENCY ELECTRICITY FUTURES MARKETS: EMPIRICAL ANALYSIS AND STOCHASTIC MODELING,
Marcel Kremer, Fred Espen Benth, Björn Felten and Rüdiger Kiesel, in International Journal of Theoretical and Applied Finance (IJTAF) (2020)
Keywords: Volatility, liquidity, electricity futures, high-frequency prices, stochastic modeling, Monte Carlo simulation, time-weighted realized variance

Electricity pool prices: long-term uncertainty characterization for futures-market trading and risk management,
A J Conejo, F J Nogales, M Carrión and J M Morales, in Journal of the Operational Research Society (2010)
Keywords: electricity pool prices, year-ahead forecasting, forward trading, futures prices, scenarios

Short-Term Electricity Futures Investment Strategies for Power Producers Based on Multi-Agent Deep Reinforcement Learning,
Yizheng Wang, Enhao Shi, Yang Xu, Jiahua Hu and Changsen Feng, in Energies (2024)
Keywords: electricity futures; price risk mitigation; power producer; multi-agent deep reinforcement learning; portfolio strategies

Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets,
Pawel Maryniak, Stefan Trueck and Rafał Weron, from Hugo Steinhaus Center, Wroclaw University of Science and Technology (2016)
Keywords: Carbon tax; Carbon pass-through rate; Forward risk premium; Electricity market; Spot and futures prices

Identifying Risk Factors and Their Premia: A Study on Electricity Prices*,
Wei Wei and Asger Lunde, in Journal of Financial Econometrics (2023)
Keywords: risk factors, risk premia, futures, electricity markets

Determinants of the Forward Premium in the Nord Pool Electricity Market,
Erik Haugom, Peter Molnár and Magne Tysdahl, in Energies (2020)
Keywords: electricity; futures; forward premium; quantile regression

Modelling Long-Term Electricity Contracts at EEX,
Robert Flasza, Milan Rippel and Jan Šolc, from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies (2011)
Keywords: electricity futures, EEX, ARIMAX, emission allowances

On the risk premium in Nordic electricity futures prices,
Julio J. Lucia and Hipolit Torro, in International Review of Economics & Finance (2011)
Keywords: Energy derivatives Futures premium Seasonal risk premia

Absicherung von Strompreisrisiken mit Futures: Theorie und Empirie,
Marc Rodt and Klaus Schäfer, from TU Bergakademie Freiberg, Faculty of Economics and Business Administration (2005)
Keywords: Electricity Price Risk, Electricity Futures, optimal Hedge Ratio

Empirical Analysis of Developments in the Day Ahead Electricity Markets in India,
Pankaj Sinha and Kritika Mathur, from University Library of Munich, Germany (2016)
Keywords: Power trading, electricity futures, Power exchange

Predictive Trading Strategy for Physical Electricity Futures,
Claudio Monteiro, L. Alfredo Fernandez-Jimenez and Ignacio J. Ramirez-Rosado, in Energies (2020)
Keywords: electricity markets; mid-term forecasting; energy trading; electricity price forecasting

Organization and functioning of liberalized electricity markets: An overview of the Dutch market,
Fehmi Tanrisever, Kursad Derinkuyu and Geert Jongen, in Renewable and Sustainable Energy Reviews (2015)
Keywords: Electricity markets; Futures exchange; Market organization; Electricity trading;

Electricity futures price models: Calibration and forecasting,
Suren Islyaev and Paresh Date, in European Journal of Operational Research (2015)
Keywords: Electricity derivatives; Jump diffusion models;

The relationship between day-ahead and future prices in electricity markets: An empirical analysis on Italy, France, Germany, and Switzerland,
Cinzia Bonaldo, Massimiliano Caporin and Fulvio Fontini, in Energy Economics (2022)
Keywords: Electricity; Prices; Futures; Spot; Risk premium;

The past, present, and future of futures,
Shalini Patel and Paula Tkac, in EconSouth (2007)
Keywords: Futures

Futures market regulation,
Gary D. Koppenhaver, in Economic Perspectives (1987)
Keywords: Futures

Electronic trading on futures exchanges,
Asani Sarkar and Michelle Tozzi, in Current Issues in Economics and Finance (1998)
Keywords: Futures

The futures of OR,
M Pidd, in Journal of the Operational Research Society (2001)
Keywords: OR practice, OR process, futures

Forecasting spikes in electricity prices,
T.M. Christensen, Stan Hurn and K.A. Lindsay, in International Journal of Forecasting (2012)
Keywords: Electricity prices; Price spikes; Autoregressive conditional duration; Autoregressive conditional hazard; Electricity futures;

A survey of electricity spot and futures price models for risk management applications,
Thomas Deschatre, Olivier Féron and Pierre Gruet, in Energy Economics (2021)
Keywords: Electricity price modeling; Electricity markets; Risk management;

Supply, demand, and risk premiums in electricity markets,
Kris Jacobs, Yu Li and Craig Pirrong, in Journal of Banking & Finance (2022)
Keywords: Electricity futures; Economic determinants; Supply; Demand; Risk premium; Unspanned risk;

The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool,
Hans Byström, from Lund University, Department of Economics (2000)
Keywords: electricity prices; hedging.

The Iberian electricity market:Price dynamics and risk premium in an illiquid market,
Márcio Ferreira and Helder Sebastião, from Centre for Business and Economics Research (CeBER), University of Coimbra (2018)
Keywords: electricity markets, MIBEL, futures contracts, risk premium, price dynamics

Spot, Bilateral and Futures Trading in Electricity Markets. Implications for Stability,
Valeria Termini and Laura Cavallo, from Fondazione Eni Enrico Mattei (2007)
Keywords: Derivatives, Electricity, Market power, Hedging

Price transmission in the UK electricity market: Was NETA beneficial?,
Monica Giulietti, Luigi Grossi and Michael Waterson, in Energy Economics (2010)
Keywords: Electricity generation Electricity supply Retail pricing Futures markets Energy market competition

Price transmission in the UK electricity market: was NETA beneficial?,
Monica Giulietti, Luigi Grossi and Michael Waterson, from University of Warwick, Department of Economics (2009)
Keywords: Electricity generation ; electricity supply ; retail pricing ; futures markets ; energy market competition

Tests of a simple optimizing model of daily price limits on futures contracts,
Lucy Ackert and William C. Hunter, from Federal Reserve Bank of Atlanta (1989)
Keywords: Futures

On the efficacy of a portfolio approach to margin setting in a futures- style settlement system,
Paul Kupiec, from Board of Governors of the Federal Reserve System (U.S.) (1993)
Keywords: Futures

The life cycle greenhouse gas implications of a UK gas supply transformation on a future low carbon electricity sector,
Geoffrey P. Hammond and Áine O' Grady, in Energy (2017)
Keywords: Resources; Electricity futures; Shale gas; Biogas; Gas supply; Low carbon futures;

Modeling electricity spot and futures price dependence: A multifrequency approach,
Pekka Malo, in Physica A: Statistical Mechanics and its Applications (2009)
Keywords: Electricity; Markov-Switching; Copula; Risk; Multifrequency; Econophysics;

What Future(s) for Liberalized Electricity Markets: Efficient, Equitable or Innovative?,
David M. Newbery, in The Energy Journal (2018)
Keywords: Electricity market design; Tariffs; Renewables support; Utilities

What future(s) for liberalized electricity markets: efficient, equitable or innovative?,
David M Newbery, from Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge (2017)
Keywords: Electricity market design, tariffs, renewables support, utilities

What future(s) for liberalized electricity markets: efficient, equitable or innovative?,
David M Newbery, from Faculty of Economics, University of Cambridge (2017)
Keywords: Electricity market design, tariffs, renewables support, utilities

Hedging spark spread risk with futures,
Beatriz Martínez and Hipolit Torro, in Energy Policy (2018)
Keywords: Natural gas market; Electricity market; Futures contracts; Spark spread; Hedging ratio; Seasonal effects;

A multi-factor approach to modelling the impact of wind energy on electricity spot prices,
Paulina A. Rowińska, Almut E.D. Veraart and Pierre Gruet, in Energy Economics (2021)
Keywords: CARMA model; Electricity spot prices; Electricity futures prices; Lévy process; Lévy semistationary process; Wind energy;

Electricity price modelling with stochastic volatility and jumps: An empirical investigation,
Nikolay Gudkov and Katja Ignatieva, in Energy Economics (2021)
Keywords: Power markets; Electricity spot market; Electricity modelling; Energy derivatives; Stochastic volatility; Jump diffusion models; Futures pricing;

Intraday return and volatily relationships between the IBEX 35 stock index and stock index futures markets,
Juan Angel Lafuente, from Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2000)
Keywords: Futures

The existence and impact of destabilizing positive feedback traders: evidence from the S&P 500 Index futures market,
Laura E. Kodres, from Board of Governors of the Federal Reserve System (U.S.) (1994)
Keywords: Futures

The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model,
Thomas Kallabis, Christian Pape and Christoph Weber, in Energy Policy (2016)
Keywords: Electricity generation; Investment; Market structure; Pricing; Western European countries;

Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures,
Rick Steinert and Florian Ziel, in The Energy Journal (2019)
Keywords: Electricity price; Mid-term; Future Data; Forecasting; AR; Lasso

Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis,
Michał Zator, from Hugo Steinhaus Center, Wroclaw University of Science and Technology (2013)
Keywords: electricity markets; risk premium; convenience yield; linear regression; seasonality

Expectations for Statistical Arbitrage in Energy Futures Markets,
Tadahiro Nakajima, in JRFM (2019)
Keywords: cointegration; statistical arbitrage; natural gas; wholesale electricity; futures market; spark spread

Structural models for coupled electricity markets,
Rüdiger Kiesel and Michael Kusterman, in Journal of Commodity Markets (2016)
Keywords: Market coupling; Structural models; Electricity prices; Futures prices; Power plant valuation;

The Impact of a Market Maker in an Electricity Market,
Sebastián Arias, Adriana M. Santa-Alvarado and Harold Salazar, in Energies (2024)
Keywords: market maker; inefficiencies of the OTC market; market risk; electricity market; energy futures

Carbon Content of Electricity Futures in Phase II of the EU ETS,
Harrison Fell, Beat Hintermann and Herman R.J. Vollebergh, in The Energy Journal (2015)
Keywords: Cost pass-through; Electricity markets; EU ETS; Cointegration; Carbon content; Renewables; GARCH

Carbon Content of Electricity Futures in Phase II of the EU ETS,
Harrison Fell, Beat Hintermann and Herman R.J. Vollebergh, from CESifo (2013)
Keywords: cost pass-through, electricity markets, EU ETS, cointegration, carbon content, renewables

Portfolio optimisation of power futures market: evidence from France and Germany,
Emmanuel Senyo Fianu, in International Journal of Public Policy (2018)
Keywords: portfolio theory; portfolio optimisation; electricity futures; energy markets; investment risk management.

Electricity derivatives pricing with forward-looking information,
Roland Füss, Steffen Mahringer and Marcel Prokopczuk, in Journal of Economic Dynamics and Control (2015)
Keywords: Electricity futures; Fundamental model; Derivatives pricing; Forward-looking information; Enlargement of filtrations;

Volatility in electricity derivative markets: The Samuelson effect revisited,
Edouard Jaeck and Delphine Lautier, in Energy Economics (2016)
Keywords: Samuelson effect; Commodity futures; Energy derivative markets; Electricity; Volatility spillovers; Indirect storability;

Volatility in electricity derivative markets: the Samuelson effect revisited,
Edouard Jaeck and Delphine Lautier, from HAL (2016)
Keywords: Samuelson effect,Commodity futures,Energy derivative markets,Electricity,Volatility spillovers,Indirect storability,C22,G13,G15,Q41

Electricity Derivatives Pricing with Forward-Looking Information,
Roland Füss, Steffen Mahringer and Marcel Prokopczuk, from University of St. Gallen, School of Finance (2013)
Keywords: Electricity Futures, Fundamental Model, Derivatives Pricing, Forward-looking Information, Enlargement of Filtrations