Economics at your fingertips  

Common and unique factors influencing daily swap returns in the Nordic electricity market, 1997-2005

Dennis Frestad

Energy Economics, 2008, vol. 30, issue 3, 1081-1097

Abstract: This paper demonstrates that electricity swap returns can be explained by a set of uncorrelated common and unique risk factors. Electricity swap returns differ from return data in other markets by a significant portion of overall risk being unaccounted for by common factors. It follows that hedging a given exposure with an exposure in another segment of the swap market could be fallible. Furthermore, the volatility function common to all swaps may have to be augmented by unique risk in applied pricing applications.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

Access Statistics for this article

Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

More articles in Energy Economics from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2018-05-29
Handle: RePEc:eee:eneeco:v:30:y:2008:i:3:p:1081-1097