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Analyzing the impact of futures trading on spot price volatility : evidence from the spot electricity market in France and Germany

Kalantzis, Fotis G.; Milonas, Nikolaos T. - In: Energy economics 36 (2013), pp. 454-463

Persistent link: https://www.econbiz.de/10009724667

Hedging performance and multiscale relationships in the German electricity spot and futures markets

Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

Persistent link: https://www.econbiz.de/10011555959

A critical empirical study of three electricity spot price models

Benth, Fred Espen; Kiesel, Rüdiger; Nazarova, Anna - In: Energy economics 34 (2012) 5, pp. 1589-1616

Persistent link: https://www.econbiz.de/10009687984

Application of non-linear time series models to power risk management: a case study for Germany

Kosater, Peter (contributor) - 2006

Persistent link: https://www.econbiz.de/10003494301

Pricing futures and options in electricity markets

Benth, Fred Espen; Schmeck, Maren Diane - In: The interrelationship between financial and energy markets, (pp. 233-260). 2014

Persistent link: https://www.econbiz.de/10010411140

Day-ahead electricity spot prices : fundamental modelling and the role of expected wind electricity infeed at the European energy exchange

Erni, David - 2012

, high and clustered volatility, or extreme price observations. Given the increasing promotion of electricity from renewable …

Persistent link: https://www.econbiz.de/10009713290

The connectedness features of German electricity futures over short and long maturities

Gianfreda, Angelica; Scandolo, Giacomo; Bunn, Derek W. - In: Finance research letters 70 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10015194086

Joint econometric modeling of spot electricity prices, forwards and options

Monfort, Alain; Féron, Olivier - In: Review of derivatives research 15 (2012) 3, pp. 217-256

Persistent link: https://www.econbiz.de/10009709687

Risk management in cross-border electricity markets in Europe : analysis and valuation of derivative instruments

Marckhoff, Jan - 2011

Persistent link: https://www.econbiz.de/10009125752

A parsimonious fundamental model for wholesale electricity markets : analysis of the plunge in German futures prices

Kallabis, Thomas; Pape, Christian; Weber, Christoph - 2015

The German market has seen a plunge in wholesale electricity prices from 2007 until 2014, when base futures prices dropped by more than 40 percent. In this paper we determine the fundamental components of electricity futures prices and quantify their impact on the price drop as well as on...

Persistent link: https://www.econbiz.de/10010528776