• A comparison of implied and realized volatility in the Nordic power forward market 

      Birkelund, Ole Henrik; Haugom, Erik; Molnar, Peter; Opdal, Martin; Westgaard, Sjur (Journal article; Peer reviewed, 2015)
      In this paper we study implied and realized volatility for the Nordic power forward market. We create an implied volatility index with a fixed time to maturity. This index is compared to a realized volatility time series ...
    • A spot-forward model for electricity prices with regime shifts 

      Paraschiv, Florentina; Fleten, Stein-Erik; Schürle, Michael (Journal article; Preprint; Peer reviewed, 2014)
      We propose a novel regime-switching approach for electricity prices in which simulated and forecasted prices are consistent with currently observed forward prices. Additionally, the model is able to reproduce spikes and ...
    • An equilibrium market power model for power markets and tradable green certificates, including Kirchhoff's Laws and Nash-Cournot competition 

      Helgesen, Per Ivar; Tomasgard, Asgeir (Journal article; Peer reviewed, 2018)
      We investigate the economic impacts of introducing tradable green certificates to promote electricity produced from renewable energy sources. We formulate a mixed complementarity, multi-region, partial equilibrium model, ...
    • Gas-fired power plants: Investment timing, operating flexibility and CO2 capture 

      Fleten, Stein-Erik; Näsäkkälä, Erkka (Journal article; Peer reviewed, 2010)
      We analyze investments in gas-fired power plants based on stochastic electricity and natural gas prices. A simple but realistic two-factor model is used for price processes, enabling analysis of the value of operating ...
    • How to proceed with competing alternative energy technologies: A real options analysis 

      Siddiqui, Afzal; Fleten, Stein-Erik (Journal article; Peer reviewed, 2010)
      Concerns about CO2 emissions create incentives for the development and deployment of energy technologies that do not use fossil fuels. Indeed, such technologies would provide tangible benefits in terms of avoided fossil-fuel ...
    • Selective hedging in hydro-based electricity companies 

      Sanda, Gaute Egeland; Olsen, Eirik Tandberg; Fleten, Stein-Erik (Journal article; Peer reviewed, 2013)
      We analyze risk management trends in electricity commodity markets using the production and transaction data and written hedging policies of 12 Norwegian hydropower companies. The scope of our analysis is the hedging of ...
    • The overnight risk premium in electricity forward contracts 

      Fleten, Stein-Erik; Hagen, Liv Aune; Nygård, Maria Tandberg; Smith-Sivertsen, Ragnhild Brita; Sollie, Johan Magne (Journal article; Peer reviewed, 2015)
      We analyze the risk premium on electricity forward contracts traded for the Nordic and German/Austrian electricity markets. We argue that finding risk premiums by analyzing overnight returns is more relevant than the ...
    • The real options to shutdown, startup, and abandon: U.S. electricity industry evidence 

      Fleten, Stein-Erik; Haugom, Erik; Ullrich, Carl J. (Journal article, 2017)
      The purpose of this paper is to examine empirically the partially irreversible decisions to shutdown, startup, and abandon existing production assets under cash flow uncertainty and regulatory uncertainty. We use detailed ...