Veraart, Almut E.D. and Veraart, Luitgard A.M. 
ORCID: 0000-0003-1183-2227
(2013)
Risk premiums in energy markets.
Journal of Energy Markets, 6 (4).
pp. 91-132.
ISSN 1756-3607
Abstract
Risk premiums between spot and forward prices play a key role in energy markets. This paper derives analytic expressions for such risk premiums when spot prices are modeled by Lévy semistationary processes.We focus particularly on electricity prices. In an empirical study based on electricity spot prices and futures from the European Energy Exchange market, we investigate the behavior of electricity risk premiums from a statistical perspective. Furthermore, we demonstrate how a suitable model for electricity futures prices can be formulated, obtaining promising empirical results.
| Item Type: | Article |
|---|---|
| Additional Information: | Funding Information: We thank Salvador Ortiz-Latorre for comments on an earlier draft of the paper. A. E. D. Veraart acknowledges financial support from a Marie Curie FP7 Integration Grant within the 7th European Union Framework Programme and from CREATES (DNRF78), funded by the Danish National Research Foundation. Publisher Copyright: © 2013, Infopro digital. All rights reserved. |
| Divisions: | Mathematics |
| Date Deposited: | 08 Apr 2024 11:51 |
| Last Modified: | 08 Apr 2024 11:51 |
| URI: | http://eprints.lse.ac.uk/id/eprint/122559 |
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