Risk Premium in Electricity Prices: Evidence from the PJM Market

In this article, we construct a stochastic model for electricity spot prices, derive a pricing formula for electricity forward contracts, and specify risk premia inherent in such contracts. Our spot price model accounts for seasonality, mean‐reversion, and time‐varying jump intensity. Empirically, t...

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Bibliographic details
Volume: 35
Main Author: Xiao, Yuewen
Colwell, David B
Bhar, Ramaprasad
Format: Journal Article
Language: English
Zielgruppe: Trade
Place of publication: HOBOKEN Blackwell Publishing Ltd 01.08.2015
John Wiley & Sons, Inc
published in: The journal of futures markets Vol. 35; no. 8; pp. 776 - 793
Data of publication: 2015-08
ISSN: 0270-7314
EISSN: 1096-9934
Discipline: Business
Online Access: available in Bonn?
Database: Istex
Web of Knowledge
Social Sciences Citation Index
Web of Science
Web of Science - Social Sciences Citation Index - 2015
Gale General OneFile (A&I only)
Academic OneFile (A&I only)
Database information Databases - DBIS