Electricity Forward Prices: A High-Frequency Empirical Analysis

We conduct an empirical analysis of forward prices in the PJM electricity market 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 dire...

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Veröffentlicht in:	The Journal of finance (New York) 2004-08, Vol.59 (4), p.1877-1900
Hauptverfasser:	Longstaff, Francis A., Wang, Ashley W.
Format:	Artikel
Sprache:	eng
Schlagworte:	Commodity prices Electric utilities Electricity Electricity prices Energy Financial risk Forward exchange contracts Futures market Market prices Power marketers Price changes Price premiums Price volatility Skewed distribution Standard deviation Studies
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