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Storage and the electricity forward premium

✍ Scribed by Stratford Douglas; Julia Popova

Book ID
108120928
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
646 KB
Volume
30
Category
Article
ISSN
0140-9883

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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