One-day forward premiums and the impact of virtual bidding on the New York wholesale electricity market using hourly data
Article Abstract:
Hourly data on one-day forward premiums from 1 January 2001 to 29 March 2005 were studied to determine the effect of virtual bidding on the New York wholesale electricity spot market. Virtual bidding was associated with lower premiums during offpeak or near-offpeak hours and with higher premiums during peak hours.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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A first look at the empirical relation between spot and futures electricity prices in the United States
Article Abstract:
The futures market for electricity approximates an efficient market. The relationship between futures and spots is examined with a vector autoregression.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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The pricing of electricity futures: evidence from the European energy exchange
Article Abstract:
A study on high price volatility of electricity derivatives in European energy exchange, using one and two factor models, is presented.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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