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Estimating the commodity market price of risk for energy prices
10 references·9 citing·45 second hop
Estimating the commodity market price of risk for energy prices (2007)Estimating the commodity market price of …Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Rational Asset Prices (2002)Rational Asset PricesEquilibrium Pricing and Optimal Hedging in Electricity Forward Markets (2002)Equilibrium Pricing and Optim…Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Systematic Risk, Hedging Pres…Residual Risk, Trading Costs, and Commodity Futures Risk Premia: (1988)Residual Risk, Trading Costs,…Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage (1987)Commodity Futures Prices: Som…Returns to Speculators and the Theory of Normal Backwardation (1985)Returns to Speculators and th…Can Speculators Forecast Prices? (1957)Can Speculators Forecast Pric…Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump? (2021)Analytic formulas for futures…Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework (2019)Mean-reverting additive energ…A mixed C-vine copula model for hedging price and volumetric risk in wind power trading (2017)A mixed C-vine copula model f…Liquidity and Risk Premia in Electricity Futures (2016)Liquidity and Risk Premia in …Investigating the risk-return trade-off for crude oil futures using high-frequency data (2016)Investigating the risk-return…Carbon risk and optimal retrofitting in cement plants: An application of stochastic modelling, MonteCarlo simulation and Real Options Analysis (2016)Carbon risk and optimal retro…Risk Premium in Electricity Prices: Evidence from the PJM Market (2014)Risk Premium in Electricity P…The forward premium in electricity futures (2013)The forward premium in electr…An empirical study of the information premium on electricity markets (2012)An empirical study of the inf…The pricing of commodity contracts (1976)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A Simple Model of Capital Market Equilibrium with Incomplete Information (1987)Capital controls, market segmentation and stock prices: Evidence from the Chinese stock market (1996)Broker-Dealer Risk Appetite and Commodity Returns (2013)Convective Risk Flows in Commodity Futures Markets (2014)A Treatise on Money (1971)Limits to arbitrage and hedging: Evidence from commodity markets (2013)Risk premia in crude oil futures prices (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)Hedging Pressure Effects in Futures Markets (2000)Momentum strategies in commodity futures markets (2007)Speculators, commodities and cross-market linkages (2013)The General Theory of Employment, Interest and Money. (1936)An Intertemporal Capital Asset Pricing Model (1973)Does the Stock Market Overreact? (1985)Idiosyncratic Consumption Risk and the Cross Section of Asset Returns (2004)Estimating Panel Models With Internal and External Habit Formation (2009)Asset Pricing Tests with Long-run Risks in Consumption Growth (2011)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)An Intertemporal General Equilibrium Model of Asset Prices (1985)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Equilibrium Forward Curves for Commodities (2000)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)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)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)Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets (1984)Price variability and the maturity effect in futures markets (1986)Luck Versus Forecast Ability: Determinants of Trader Performance in Futures Markets (1991)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
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References

  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices1,098 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
  • 1992Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets538 cited
  • 1988Residual Risk, Trading Costs, and Commodity Futures Risk Premia:321 cited
  • 1985Returns to Speculators and the Theory of Normal Backwardation238 cited
  • 2002Rational Asset Prices147 cited
  • 1957Can Speculators Forecast Prices?147 cited

Cited by

  • 2016Investigating the risk-return trade-off for crude oil futures using high-frequency data69 cited
  • 2013The forward premium in electricity futures56 cited
  • 2019Mean-reverting additive energy forward curves in a Heath–Jarrow–Morton framework29 cited
  • 2021Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?28 cited

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  • 2012An empirical study of the information premium on electricity markets26 cited
  • 2014Risk Premium in Electricity Prices: Evidence from the PJM Market25 cited
  • 2016Liquidity and Risk Premia in Electricity Futures25 cited
  • 2016Carbon risk and optimal retrofitting in cement plants: An application of stochastic modelling, MonteCarlo simulation and Real Options Analysis23 cited
  • 2017A mixed C-vine copula model for hedging price and volumetric risk in wind power trading20 cited