Electricity Forward Prices: A High-Frequency Empirical Analysis

By Francis A. Longstaff, Ashley Wang. 2002

419 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance, Safety, Risk, Reliability and Quality

View Paper: https://www.semanticscholar.org/paper/12c28f012c6a946715ce07c265ab3411ee739fee

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Citations in the corpus

A Dynamic Analysis of a Demand Curve-Based Capacity Market Proposal: The PJM Reliability Pricing Model (2007, background): “For instance, Bessembinder and Lemmon [1] describe how equilibrium forward price premiums can be affected by various factors, and Longstaff and Wang [9] empirically estimate these premiums for the PJM market.”
Futures pricing in electricity markets based on stable CARMA spot models (2012, methodology): “Hence, the analysis in Longstaﬀ and Wang [28] is valid for the very short end of the futures curve.”
On the market impact of wind energy forecasts (2010, background): “Recently, higher frequency analysis have appeared though (e.g. Huisman et al., 2006; Longstaff and Wang, 2004; Karakatsani and Bunn, 2008).”
Hourly Electricity Prices in Day-Ahead Markets (2007, background): “Longstaff and Wang (2004) study the day-ahead hourly risk premium, calculated as the difference between the day-ahead price and the expected real time price.”
Realised quantile-based estimation of the integrated variance (2010, background): “Consider, for example, electricity markets, where storage is costly, power plants can fail, and sudden unpredictable swings in demand for energy – often for exogenous reasons – can lead to substantial temporary price spikes (see, e.g., Bessembinder and Lemmon, 2002; Longstaff and Wang, 2004).”
Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets (2016, background): “…occasional spikes has led to extensive research on electricity price behavior and dynamics (e.g., Johnsen, 2001; Bessembinder and Lemmon, 2002, 2006; Longstaff and Wang, 2004; Knittel and Roberts, 2005; Park et al., 2006; Haldrup and Nielsen, 2006; Mount et al., 2006; Weron, 2006; Guthrie and…”
A spot market model for pricing derivatives in electricity markets (2004, neutral): “Similar results were obtained in [25].”
Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014, background): “For instance, Maciejowska (2014) reports for the UKmarket that fundamental drivers (wind generation, demand, gas price) played a minor role, while speculative or spot price shocks were responsible for up to 95% of the price volatility in 2011 and 2012.”
Stochastic modeling of financial electricity contracts (2008, background): “Note that, as opposed to for instance Longstaff and Wang 4See http://www.nordpool.no/nordpool/financial/index.html for details on the different financial contracts traded on Nord Pool.”
Maximum Likelihood Estimation of VARMA Models Using a State‐Space EM Algorithm (2007, background): “(See Longstaff and Wang (2004), Saravia (2003), and Borenstein et al. (2004) for similar tests in the Pennsylvania/ New Jersey/Maryland, New York, and California markets, respectively.)”
Inefficiencies and Market Power in Financial Arbitrage: A Study of California’s Electricity Markets (2006, background): “For instance, in the first four months of trading, ISO prices were lower in both the North and South during both the early hours (1-6) and late hours (8-24), although the negative coefficients were only statistically significant in three out of the eight late-hour specifications.”
Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (2007, neutral): “Furthermore, although Longstaff and Wang (2004) try to establish a relationship between the forward premium and the difference between maximum capacity and expected demand, they must assume (due to lack of data) that generating capacity is constant.”
Electricity derivatives and risk management (2006, methodology): “[31,34,40,42,43] for forward prices and [44] for spark spreads.”
Sequential Markets, Market Power, and Arbitrage (2016, background): “(1)Examples of empirical evidence include treasury auctions (Coutinho, 2013), wine auctions (Ashenfelter, 1989; McAfee and Vincent, 1993), mutual funds (Zitzewitz, 2003), and wholesale electricity markets (Saravia, 2003; Longstaff and Wang, 2004; Borenstein et al., 2008; Hadsell, 2008; Bowden et al.”