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- W2024339811 abstract "Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, these exhibit a significant time-varying risk premium. Using EEX data during the introduction of Emission certificates and the German Atom Moratorium we show that a significant part of the risk premium in electricity forwards is due to different information sets in spot and forward markets. In order to show the existence of the resulting information premium and to analyse its size we design an empirical method based on techniques relating to enlargement of filtrations and the structure of Hilbert spaces." @default.
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- W2024339811 date "2012-01-01" @default.
- W2024339811 modified "2023-10-02" @default.
- W2024339811 title "An Empirical Study of the Information Premium on Electricity Markets" @default.
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- W2024339811 doi "https://doi.org/10.2139/ssrn.2114196" @default.
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