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An empirical study of the information premium on electricity markets

Benth, Fred Espen; Biegler-König, Richard; Kiesel, Rüdiger
Journal article; SubmittedVersion
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paper11.pdf (1.092Mb)
Year
2013
Permanent link
http://urn.nb.no/URN:NBN:no-46296

CRIStin
999511

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  • Matematisk institutt [2063]
  • CRIStin høstingsarkiv [6644]
Original version
Energy Economics. 2013, 36, 55-77, DOI: http://dx.doi.org/10.1016/j.eneco.2012.12.001
Abstract
Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction of emission certificates and the German “Atom Moratorium” we show that a significant part of the risk premium in electricity forwards is due to different information sets in spot and forward markets. In order to show the existence of the resulting information premium and to analyse its size we design an empirical method based on techniques relating to enlargement of filtrations and the structure of Hilbert spaces.
 
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