We investigate the presence of significant electricity forward risk premia, using data from three major continental European energy markets - German, Dutch and French. We introduce the risk premium in the framework of a standard electricity spot/forward unobserved factor model, and derive the...

Vector autoregressions (VARs) are important tools in time series analysis. However, relatively little is known about the nite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a purely...

Python is a powerful high level open source programming language, that is available for multiple platforms. It supports object oriented programming, and has recently become a serious alternative to low level compiled languages such as C. It is easy to learn and use, and is recognized for very...