A comment on: Storage and the electricity forward premium
β Scribed by Adriaan Bloys van Treslong; Ronald Huisman
- Book ID
- 108120989
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 141 KB
- Volume
- 32
- Category
- Article
- ISSN
- 0140-9883
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
We decompose the spot and forward rates into (permanent) nonlinear trend components and (transitory) stationary components. We examine the unbiasedness of the permanent (transitory) component of the forward rate in predicting the permanent (transitory) component of its corresponding future spot rate
## Abstract This study examines oneβday forward premiums at the hourly level on the New York independent systems operator wholesale electricity market for the period 2001β2005. Examining two representative zones, the authors show that premiums vary by hour of day, day of week, and month. We report