Browsing Institutt for industriell økonomi og teknologiledelse by Journals "Journal of Energy Markets"

Now showing items 1-7 of 7

    • Electricity futures prices: time-varying sensitivity to fundamentals 

      Fleten, Stein-Erik; Huisman, Ronald; Kilic, Mehtap; Pennings, Enrico; Westgaard, Sjur (Journal article, 2015)
      This paper provides insight into the time-varying relation between electricity futures prices and fundamentals in the form of contract prices for fossil fuels. As supply curves are not constant and different producers have ...

    • Evaluation of static hedging strategies for hydropower producers in the Nordic market 

      Fleten, Stein-Erik; Bråthen, Espen; Nissen-Meyer, Sigurd-Erik (Journal article; Peer reviewed, 2010)
      In this paper we develop an optimization model to derive static hedge positions for hydropower producers with different risk characteristics. Previous research has primarily considered dynamic hedging; however, static ...

    • Modeling electricity forward prices using the multivariate normal inverse Gaussian distribution 

      Andresen, Arne; Koekebakker, Steen; Westgaard, Sjur (Journal article; Peer reviewed, 2010)
      This paper presents a discrete random-field model for forward prices driven by the multivariate normal inverse Gaussian distribution. The model captures the idiosyncratic risk and adequately addresses the heavy tails ...

    • Modeling superior predictors for crude oil prices 

      Westgaard, Sjur; Osmundsen, Petter; Stenslet, Lord Olav Daniel; Ringheim, Jo Kogstad (Journal article; Peer reviewed, 2017)
      A common perception in the literature is that oil price dynamics are most adequately explained by fundamental supply-and-demand factors. We use a general-to-specific approach and find that financial indicators are even ...

    • Optimal management of green certificates in the Swedish-Norwegian market 

      Benth, Fred Espen; Eriksson, Marcus Karl Viren; Westgaard, Sjur (Journal article, 2017)
      We propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account ...

    • The forecasting power of medium-term futures contracts 

      Haugom, Erik; Hoff, Guttorm Andre; Mortensen, Maria; Molnar, Peter; Westgaard, Sjur (Journal article; Peer reviewed, 2014)
      This study investigates whether weekly futures prices, covering the time period 1996–2013, are unbiased predictors of future spot price in the Nordic power market. The results give no clear evidence of bias in the futures ...

    • Time-varying dependency in European energy markets: an analysis of Nord Pool, European Energy Exchange and Intercontinental Exchange energy commodities 

      Veka, Steinar; Lien, Gudbrand; Westgaard, Sjur; Higgs, Helen (Journal article; Peer reviewed, 2012)
      In this paper we investigate the extent to which the price of Nordic electricity derivatives correlates with European Energy Exchange (EEX) and Intercontinental Exchange (ICE) electricity contracts. We also include their ...