Wilkens, Sascha and Wimschulte, Jens (2007) The pricing of electricity futures: Evidence from the European Energy Exchange. JOURNAL OF FUTURES MARKETS, 27 (4). pp. 387-410. ISSN 0270-7314,
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This study investigates the pricing of electricity futures at the European Energy Exchange (EEX) over the period 2002 through 2004. To calculate theoretical contract values, the reduced-form models of J.J. Lucia and E. S. Schwartz (2002) are used, and a thorough empirical analysis by means of an out-of-sample test is conducted for both one- and two-factor models, incorporating a constant non-zero price of risk. Although the models are proven to capture all basic spot market characteristics and provide an accurate in-the-sample fit to observed futures prices, the forecasting performance is subject to biases. For instance, it was found that the relative mispricing depends on both the spot price level and the remaining time-to-maturity of the futures contracts. (c) 2007 Wiley Periodicals, Inc.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | MARKETS; |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzdienstleistungen (Prof. Dr. Klaus Röder) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 16 Dec 2020 14:18 |
| Last Modified: | 16 Dec 2020 14:18 |
| URI: | https://pred.uni-regensburg.de/id/eprint/32964 |
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