Add to ORKGIn this paper we provide a framework that explains how the market risk premium, defined as the difference between forward prices and spot forecasts, depends on the risk preferences of market players. In commodities markets this premium is an important indicator of the behaviour of buyers and sellers and their views on the market spanning between short-term and long-term horizons. We show that under certain assumptions it is possible to derive explicit solutions that link levels of risk aversion and market power with market prices of risk and the market risk premium.Contango, backwardation, market price of risk, electricity forwards, market risk premium, forward risk premium, forward bias.
The purpose of this paper is to determine the magnitude and sign of the commodity “market price of r...
Thesis by publication.At foot of title: Department of Applied Finance and Actuarial Studies, Faculty...
Purpose: This paper is intended to thoroughly investigate futures premiums in Australian electricity...
In this paper we provide a framework that explains how the market risk premium, defined as the diffe...
In this paper we provide a framework that explains how the market risk premium, defined as the diffe...
In this paper we provide a framework that explains how the market risk premium, defined as the diffe...
In this paper we provide a framework that explains how the market risk premium, defined as the diff...
Since the liberalisation of the European electricity sector, forward and futures contracts have gain...
This thesis contributed to the literature analyzing the functioning of deregulated wholesale electri...
We analyze the risk premium on electricity forward contracts traded for the Nordic and German/Austri...
We propose a model where wholesale electricity prices are explained by two state variables: demand a...
We propose a model where wholesale electricity prices are explained by two state variables: demand a...
We propose a model where wholesale electricity prices are explained by two state variables: demand a...
We investigate the presence of significant electricity forward risk premia, using data from three ma...
Electricity is a commodity which is non-storable, and therefore difficult to move forward in time. H...
The purpose of this paper is to determine the magnitude and sign of the commodity “market price of r...
Thesis by publication.At foot of title: Department of Applied Finance and Actuarial Studies, Faculty...
Purpose: This paper is intended to thoroughly investigate futures premiums in Australian electricity...
In this paper we provide a framework that explains how the market risk premium, defined as the diffe...
In this paper we provide a framework that explains how the market risk premium, defined as the diffe...
In this paper we provide a framework that explains how the market risk premium, defined as the diffe...
In this paper we provide a framework that explains how the market risk premium, defined as the diff...
Since the liberalisation of the European electricity sector, forward and futures contracts have gain...
This thesis contributed to the literature analyzing the functioning of deregulated wholesale electri...
We analyze the risk premium on electricity forward contracts traded for the Nordic and German/Austri...
We propose a model where wholesale electricity prices are explained by two state variables: demand a...
We propose a model where wholesale electricity prices are explained by two state variables: demand a...
We propose a model where wholesale electricity prices are explained by two state variables: demand a...
We investigate the presence of significant electricity forward risk premia, using data from three ma...
Electricity is a commodity which is non-storable, and therefore difficult to move forward in time. H...
The purpose of this paper is to determine the magnitude and sign of the commodity “market price of r...
Thesis by publication.At foot of title: Department of Applied Finance and Actuarial Studies, Faculty...
Purpose: This paper is intended to thoroughly investigate futures premiums in Australian electricity...