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- W2911296314 abstract "We conduct an empirical analysis of electricity forward prices using a high-frequency data set of hourly spot and day-ahead forward prices. We find that there are significant risk premia in electricity forward prices. These premia vary systematically throughout the day and are directly related to economic risk factors such as the volatility of unexpected changes in prices and demand as well as the risk of price spikes. In contrast to the popular post-Enron view that electricity markets are easily manipulated, these results support the hypothesis that electricity forward prices are determined rationally by risk-averse economic agents." @default.
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- W2911296314 date "2004-08-01" @default.
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- W2911296314 title "Electricity Forward Prices: A High-Frequency Empirical Analysis" @default.
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- W2911296314 doi "https://doi.org/10.1111/j.1540-6261.2004.00682.x" @default.
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