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ArticleThe forward premium in electricity futures

Derek W. Bunn2013

Article2013

The forward premium in electricity futures

Derek W. Bunn · Dipeng Chen

56 citations·0/0 files stored·Journal of Empirical Finance

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Market Dynamics and Volatility Financial Markets and Investment Strategies Energy Load and Power Forecasting

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References

2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 2002Regime Switches in Interest Rates 1999Measuring Duopoly Power in the British Electricity Spot Market 2002Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets 2007Market price of risk implied by Asian-style electricity options and futures 2008The price of power: The valuation of power and weather derivatives 2003A first look at the empirical relation between spot and futures electricity prices in the United States 2009Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernext

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2015The overnight risk premium in electricity forward contracts

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2014Risk Premium in Electricity Prices: Evidence from the PJM Marketarticle · 7 shared references 2019Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton frameworkarticle · 4 shared references 2007Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivativesarticle · 4 shared references 2009Are electricity risk premia affected by emission allowance prices? Evidence from the EEX, Nord Pool and Powernextarticle · 3 shared references 2011On the risk premium in Nordic electricity futures pricesarticle · 3 shared references 2004Pricing Power Derivatives: A Two-Factor Jump-Diffusion Approachpreprint · 3 shared references

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Year2013

Typearticle

Published2013-06-19

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations56

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.jempfin.2013.06.002

openalex_workW2090620979

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