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Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext
16 references·3 citing·46 second hop
Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext (2009)Are electricity risk premia affected by e…Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme (2009)Modeling CO2 emission allowan…Dynamic behavior of CO2 spot prices (2008)Dynamic behavior of CO2 spot …Are the European carbon markets efficient (2008)Are the European carbon marke…An econometric analysis of emission allowance prices (2008)An econometric analysis of em…Market price of risk implied by Asian-style electricity options and futures (2007)Market price of risk implied …Interaction of European Carbon Trading and Energy Prices (2007)Interaction of European Carbo…Understanding the Fine Structure of Electricity Prices* (2006)Understanding the Fine Struct…The impacts of EU CO2 emissions trading on electricity markets and electricity consumers in Finland (2006)The impacts of EU CO2 emissio…CO2 cost pass-through and windfall profits in the power sector (2006)CO2 cost pass-through and win…CO 2 cost pass-through and windfall profits in the power sector (2006)CO 2 cost pass-through and wi…Energy and power risk management : new developments in modeling, pricing and hedging (2003)Energy and power risk managem…Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets (2002)Equilibrium Pricing and Optim…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Consumption Risk in Futures Markets (1980)Consumption Risk in Futures M…Markets in licenses and efficient pollution control programs (1972)Markets in licenses and effic…The Problem of Social Cost (1960)The Problem of Social CostDo clean and dirty cryptocurrencies connect financial assets differently? The perspective of market inefficiency (2024)Do clean and dirty cryptocurr…Forecasting volatility of carbon under EU ETS: a multi-phase study (2016)Forecasting volatility of car…Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform (2015)Nonlinear structure analysis …Stable Paretian Models in Finance (2000)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Decisions from Experience and the Effect of Rare Events in Risky Choice (2004)Carbon price drivers: Phase I versus Phase II equilibrium? (2011)Causes of the EU ETS price drop: Recession, CDM, renewable policies or a bit of everything?—New evidence (2014)Foundations of Economic Analysis (1948)Foundations of Economic Analysis. (1948)Effluent charges and licenses under uncertainty (1976)Experience with Market-Based Environmental Policy Instruments (2003)Climate risks and market efficiency (2018)Energy Risk: Valuing and Managing Energy Derivatives (1997)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)Stochastic modeling of financial electricity contracts (2007)Modelling Electricity Prices: International Evidence* (2011)Optimal Control Theory : Applications to Management Science and Economics (2000)Modeling the price dynamics of CO2 emission allowances (2008)Price determination in the EU ETS market: Theory and econometric analysis with market fundamentals (2012)How does emission trading reduce China's carbon intensity? An exploration using a decomposition and difference-in-differences approach (2019)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis (2011)The Cost of Carbon: Capital Market Effects of the Proposed Emission Trading Scheme ( ETS ) (2013)Carbon emissions and stock returns: Evidence from the EU Emissions Trading Scheme (2015)A Treatise on Money (1971)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward and spot exchange rates (1984)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)What do we learn from the price of crude oil futures? (2010)Financialization of Commodity Markets (2013)The Determinants of Firms' Hedging Policies (1985)Managerial discretion and optimal financing policies (1990)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Measuring Duopoly Power in the British Electricity Spot Market (1999)A spot market model for pricing derivatives in electricity markets (2004)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Allowance price drivers in the first phase of the EU ETS (2009)Pricing Carbon: The European Union Emissions Trading Scheme (2010)The Impact of the European Union Emissions Trading Scheme on Regulated Firms: What Is the Evidence after Ten Years? (2015)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration (1986)A Survey of Corporate Governance (1997)Pricing and Hedging Spread Options (2003)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)Valuation of energy storage: an optimal switching approach (2009)
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References

  • 1960The Problem of Social Cost18,243 cited
  • 1972Markets in licenses and efficient pollution control programs1,783 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets726 cited
  • 2006CO 2 cost pass-through and windfall profits in the power sector576 cited
  • 2009Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme486 cited
  • 2006Understanding the Fine Structure of Electricity Prices*386 cited
  • 2003Energy and power risk management : new developments in modeling, pricing and hedging347 cited
  • 2008Dynamic behavior of CO2 spot prices345 cited
  • 2008An econometric analysis of emission allowance prices327 cited
  • 2006CO2 cost pass-through and windfall profits in the power sector183 cited
  • 2007Interaction of European Carbon Trading and Energy Prices182 cited
  • 2006The impacts of EU CO2 emissions trading on electricity markets and electricity consumers in Finland145 cited
  • 2007Market price of risk implied by Asian-style electricity options and futures131 cited
  • 2008Are the European carbon markets efficient

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129 cited
  • 1980Consumption Risk in Futures Markets123 cited
  • Cited by

    • 2015Nonlinear structure analysis of carbon and energy markets with MFDCCA based on maximum overlap wavelet transform76 cited
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    • 2024Do clean and dirty cryptocurrencies connect financial assets differently? The perspective of market inefficiency26 cited