Risk Premia in Electricity Forward Prices

Diko Pavel (), Steve Lawford and Limpens Valerie ()
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Diko Pavel: Electrabel S.A.
Limpens Valerie: Electrabel S.A.

Studies in Nonlinear Dynamics & Econometrics, 2006, vol. 10, issue 3, 24

Abstract: We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the implied forward price behaviour. We then assess the term-structure and time-evolution of the risk premia for each of the markets.

Date: 2006
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Citations: View citations in EconPapers (37)

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DOI: 10.2202/1558-3708.1358

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