Journal of Energy Markets
ISSN:
1756-3607 (print)
1756-3615 (online)
Editor-in-chief: Derek W. Bunn
Intra-day risk premia in European electricity forward markets
Ehud I. Ronn, Jens Wimschulte
Abstract
ABSTRACT
Using a detailed data set of electricity forward prices in central Europe, we compute the intra-day risk premium and market price of risk for the European Energy Exchange and Energy Exchange Austria. Given the significant volatility and jump risk of electricity prices, these closely linked markets offer an opportunity to study market participants' willingness to pay a premium to secure day-ahead delivery prices earlier in a trading day. Generally, we find a positive risk premium, leading to a statistically significant negative market price of risk, and the implication that forward prices are upward-biased predictors of expected electricity spot prices.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
