Risk premiums in energy markets

Almut E. D. Veraart and Luitgard A. M. Veraart

Journal of Energy Markets

Abstract: ABSTRACT Risk premiums between spot and forward prices play a key role in energy markets. This paper derives analytic expressions for such risk premiums when spot prices are modeled by Lévy semistationary processes. We focus particularly on electricity prices. In an empirical study based on electricity spot prices and futures from the European Energy Exchange market, we investigate the behavior of electricity risk premiums from a statistical perspective. Furthermore, we demonstrate how a suitable model for electricity futures prices can be formulated, obtaining promising empirical results.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-energy-markets/230 ... ms-in-energy-markets (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ2:2309134

Access Statistics for this article

More articles in Journal of Energy Markets from Journal of Energy Markets
Bibliographic data for series maintained by Thomas Paine ().