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A first look at the empirical relation between spot and futures electricity prices in the United States
16 references·1 citing·40 second hop
A first look at the empirical relation between spot and futures electricity prices in the United States (2003)A first look at the empirical relation be…Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets (2002)Equilibrium Pricing and Optim…Measuring Duopoly Power in the British Electricity Spot Market (1999)Measuring Duopoly Power in th…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Risk Management: Coordinating Corporate Investment and Financing Policies (1993)Risk Management: Coordinating…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…Managerial discretion and optimal financing policies (1990)Managerial discretion and opt…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Determinants of Firms' Hedging Policies (1985)The Determinants of Firms' He…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…A Treatise on Money (1971)A Treatise on MoneyValue and Capital (1939)Value and CapitalA TARCH examination of the return volatility–volume relationship in electricity futures (2006)A TARCH examination of the re…ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Modern Industrial Revolution, Exit, and the Failure of Internal Control Systems (1993)Firms, Contracts, and Financial Structure (1995)A Survey of Corporate Governance (1997)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)On financial contracting (1979)Optimal capital structure under corporate and personal taxation (1980)The investment opportunity set and corporate financing, dividend, and compensation policies (1992)Managerial incentives and risk-taking☆ (2005)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Determinants of corporate borrowing (1977)The theory and practice of corporate finance: evidence from the field (2001)The Cash Flow Sensitivity of Cash (2004)Why Do U.S. Firms Hold So Much More Cash than They Used To? (2009)Econometric Analysis of Cross Section and Panel Data (2001)Self-fulfilling prophecies (1981)The contingent valuation method: a review (2003)Rare Disasters, Asset Prices, and Welfare Costs (2009)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 1990Managerial discretion and optimal financing policies3,679 cited
  • 1985The Determinants of Firms' Hedging Policies3,270 cited
  • 1993Risk Management: Coordinating Corporate Investment and Financing Policies2,897 cited
  • 1939Value and Capital2,893 cited
  • 1971A Treatise on Money1,728 cited
  • 1987Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage1,047 cited
  • 1999Measuring Duopoly Power in the British Electricity Spot Market744 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets726 cited

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  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
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    • 2006A TARCH examination of the return volatility–volume relationship in electricity futures31 cited