{"title":"电力远期价格的风险溢价——来自ISO新英格兰市场的数据","authors":"J. Parsons, G. de Roo","doi":"10.1109/EEM.2008.4579089","DOIUrl":null,"url":null,"abstract":"We document the forward premiums in the ISO New England wholesale electricity market, measured by the difference between the hourly day-ahead and real-time prices. Following Longstaff and Wang (2004), we show how these premiums are related to the variance and skewness of the real-time price distribution and how the premiums vary conditionally to reflect the varying uncertainty in the real-time price.","PeriodicalId":118618,"journal":{"name":"2008 5th International Conference on the European Electricity Market","volume":"10 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-05-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Risk premiums in electricity forward prices — data from the ISO New England Market\",\"authors\":\"J. Parsons, G. de Roo\",\"doi\":\"10.1109/EEM.2008.4579089\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We document the forward premiums in the ISO New England wholesale electricity market, measured by the difference between the hourly day-ahead and real-time prices. Following Longstaff and Wang (2004), we show how these premiums are related to the variance and skewness of the real-time price distribution and how the premiums vary conditionally to reflect the varying uncertainty in the real-time price.\",\"PeriodicalId\":118618,\"journal\":{\"name\":\"2008 5th International Conference on the European Electricity Market\",\"volume\":\"10 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2008-05-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2008 5th International Conference on the European Electricity Market\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/EEM.2008.4579089\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2008 5th International Conference on the European Electricity Market","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/EEM.2008.4579089","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Risk premiums in electricity forward prices — data from the ISO New England Market
We document the forward premiums in the ISO New England wholesale electricity market, measured by the difference between the hourly day-ahead and real-time prices. Following Longstaff and Wang (2004), we show how these premiums are related to the variance and skewness of the real-time price distribution and how the premiums vary conditionally to reflect the varying uncertainty in the real-time price.
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