Matches in SemOpenAlex for { <https://semopenalex.org/work/W2000440812> ?p ?o ?g. }
Showing items 1 to 84 of
84
with 100 items per page.
- W2000440812 endingPage "268" @default.
- W2000440812 startingPage "257" @default.
- W2000440812 abstract "In electricity markets, not only does the risk of substantial price variations over time exist, but so does the risk of price variations over space, as prices between locations can differ due to transmission congestion. To manage this risk, Contracts for Difference (CfDs), i.e., forwards on the spread between a particular area price and the (unconstrained) system price, were introduced at the Scandinavian electricity exchange Nord Pool at the end of 2000. We empirically investigate the pricing of these CfDs over the period 2001 through 2006 and find that CfD prices contain significant risk premia. Their sign and magnitude, however, differ substantially between areas and delivery periods, because areas are subject to transmission congestion to a varying extent. While the relation between risk premia and time-to-maturity is not uniform for CfDs, there is a negative relation for implied area and system forwards, which can be explained by the relative hedging demand of market participants. In addition, we find that risk premia of CfDs and implied area forwards vary systematically with the variance and skewness of the underlying spot prices. This confirms both implications of the Bessembinder and Lemmon [Bessembinder, H., Lemmon, M.L., 2002. Equilibrium pricing and optimal hedging in electricity forward markets. Journal of Finance, 57, 1347–1382] model." @default.
- W2000440812 created "2016-06-24" @default.
- W2000440812 creator A5045180463 @default.
- W2000440812 creator A5055580181 @default.
- W2000440812 date "2009-03-01" @default.
- W2000440812 modified "2023-09-26" @default.
- W2000440812 title "Locational price spreads and the pricing of contracts for difference: Evidence from the Nordic market" @default.
- W2000440812 cites W1965432628 @default.
- W2000440812 cites W1969122823 @default.
- W2000440812 cites W1976431690 @default.
- W2000440812 cites W1980112438 @default.
- W2000440812 cites W1980370400 @default.
- W2000440812 cites W1985791387 @default.
- W2000440812 cites W1988530944 @default.
- W2000440812 cites W1993567021 @default.
- W2000440812 cites W2023254862 @default.
- W2000440812 cites W2026093152 @default.
- W2000440812 cites W2026543313 @default.
- W2000440812 cites W2047798616 @default.
- W2000440812 cites W2052467603 @default.
- W2000440812 cites W2066899786 @default.
- W2000440812 cites W2077447161 @default.
- W2000440812 cites W2094749798 @default.
- W2000440812 cites W2144660211 @default.
- W2000440812 cites W2161310524 @default.
- W2000440812 cites W2911296314 @default.
- W2000440812 cites W3121701901 @default.
- W2000440812 cites W3124362478 @default.
- W2000440812 cites W3124738382 @default.
- W2000440812 cites W3125246364 @default.
- W2000440812 cites W4237970111 @default.
- W2000440812 cites W4240506581 @default.
- W2000440812 cites W4242131385 @default.
- W2000440812 cites W4243079420 @default.
- W2000440812 doi "https://doi.org/10.1016/j.eneco.2008.10.003" @default.
- W2000440812 hasPublicationYear "2009" @default.
- W2000440812 type Work @default.
- W2000440812 sameAs 2000440812 @default.
- W2000440812 citedByCount "52" @default.
- W2000440812 countsByYear W20004408122012 @default.
- W2000440812 countsByYear W20004408122013 @default.
- W2000440812 countsByYear W20004408122014 @default.
- W2000440812 countsByYear W20004408122015 @default.
- W2000440812 countsByYear W20004408122016 @default.
- W2000440812 countsByYear W20004408122017 @default.
- W2000440812 countsByYear W20004408122018 @default.
- W2000440812 countsByYear W20004408122019 @default.
- W2000440812 countsByYear W20004408122020 @default.
- W2000440812 countsByYear W20004408122021 @default.
- W2000440812 countsByYear W20004408122022 @default.
- W2000440812 crossrefType "journal-article" @default.
- W2000440812 hasAuthorship W2000440812A5045180463 @default.
- W2000440812 hasAuthorship W2000440812A5055580181 @default.
- W2000440812 hasConcept C106159729 @default.
- W2000440812 hasConcept C144133560 @default.
- W2000440812 hasConcept C149782125 @default.
- W2000440812 hasConcept C162324750 @default.
- W2000440812 hasConcept C556758197 @default.
- W2000440812 hasConceptScore W2000440812C106159729 @default.
- W2000440812 hasConceptScore W2000440812C144133560 @default.
- W2000440812 hasConceptScore W2000440812C149782125 @default.
- W2000440812 hasConceptScore W2000440812C162324750 @default.
- W2000440812 hasConceptScore W2000440812C556758197 @default.
- W2000440812 hasIssue "2" @default.
- W2000440812 hasLocation W20004408121 @default.
- W2000440812 hasOpenAccess W2000440812 @default.
- W2000440812 hasPrimaryLocation W20004408121 @default.
- W2000440812 hasRelatedWork W1973538245 @default.
- W2000440812 hasRelatedWork W2009849666 @default.
- W2000440812 hasRelatedWork W2013444265 @default.
- W2000440812 hasRelatedWork W2021570049 @default.
- W2000440812 hasRelatedWork W2030617584 @default.
- W2000440812 hasRelatedWork W2056210026 @default.
- W2000440812 hasRelatedWork W2108954098 @default.
- W2000440812 hasRelatedWork W331667891 @default.
- W2000440812 hasRelatedWork W4255972572 @default.
- W2000440812 hasRelatedWork W2142213187 @default.
- W2000440812 hasVolume "31" @default.
- W2000440812 isParatext "false" @default.
- W2000440812 isRetracted "false" @default.
- W2000440812 magId "2000440812" @default.
- W2000440812 workType "article" @default.