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• W2783441464 abstract "Abstract This paper estimates and applies a risk management strategy for electricity spot exposures using futures hedging. We apply our approach to 3 of the most actively traded European electricity markets, Nordpool, APXUK, and Phelix. We compare both optimal hedging strategies and the hedging effectiveness of these markets for 2 hedging horizons, weekly and monthly using both Variance and Value at Risk. Our key finding is that electricity futures can effectively manage risk only for specific time periods when using hedging strategies that have been very successful in financial and other commodity markets. More generally, they are ineffective as a risk management tool when compared with other energy assets. This is especially true at the weekly frequency. We also find significant differences in both the optimal hedge ratios and the hedging effectiveness of the different electricity markets. Better performance is found for the Nordpool market, whereas the poorest performer in hedging terms is the Phelix market." @default.
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• W2783441464 date "2018-01-01" @default.
• W2783441464 modified "2023-10-01" @default.
• W2783441464 title "The efficacy of financial futures as a hedging tool in electricity markets" @default.
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• W2783441464 doi "https://doi.org/10.1002/ijfe.1600" @default.
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