One-day forward premiums and the impact of virtual bidding on the new york wholesale electricity market using hourly data

Journal of Futures Markets

Volumn 27, Issue 11, 2007, Pages 1107-1125

  Hadsell, Lester ^b   Shawky, Hany A ^a  

^a STATE UNIVERSITY OF NEW YORK   (United States)

^b STATE UNIVERSITY OF NEW YORK   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 34948881921     PISSN: 02707314     EISSN: 10969934     Source Type: Journal    
DOI: 10.1002/fut.20278     Document Type: Article

References (20)

1. Bessembinder, H., & Lemmon, M.L. (2002). Equilibrium pricing and optimal hedging in electricity forward markets. Journal of Finance, 57(3), 1347-1382.
2. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31, 307-327.
3. Borenstein, S., Bushnell, J., Knittel, C., & Wolfram, C. (2001). Trading inefficiencies in California's electricity markets (Working Paper #8620) Cambridge, MA: National Bureau of Economic Research.
4. Connolly, R.A. (1989). An examination of the robustness of the weekend effect. Journal of Financial and Quantitative Analysis, 24(2), 133-169.
5. Dusak, K. (1973). Futures trading and investor returns; An investigation of commodity market risk premiums. Journal of Political Economy, 81(6), 1387-1406.
6. Engle, R.F. (1982). Autoregressive conditional heteroskedasticity with estimates of the variance on U.K. inflation. Econometrica, 50, 987-1008.
7. Hadsell, L., Marathe, A., & Shawky, H.A. (2004). Estimating the volatility of wholesale electricity spot prices in the US. Energy Journal, 25(4), 23-40.
8. Hadsell, L., & Shawky, H.A. (2006). Electricity price volatility and the marginal cost of congestion; An empirical study of peak hours on the NYISO market, 2001-2004. Energy Journal, 27(2), 157-179.
9. Kaldor, N. (1939). Speculation and economic stability. Review of Economic Studies, 7, 1-27.
10. Keynes, J.M. (1930). A treatise on money. London: Macmillan.
11. Lindley, D.V. (1957). A statistical paradox. Biometrika, 44, 187-192.
12. Longstaff, F.A., & Wang, A.W. (2004). Electricity forward prices: A high-frequency empirical analysis. Journal of Finance, 59(4), 1877-1900.
13. Nakano, S. (2005). Impact mitigation for emergency events: Their effects on day-ahead and real-time market locational based marginal pricing at the New York ISO. Japan: Hitosubashi University. Accessed August 2, 2006, from www.iaee.org/en/conferences/denver-proceedings-papers.aspx
14. NYISO. (2001). NYISO Newsletter, 2(4), 3.
15. Pirrong, C. & Jermakyan, M. (1999). Valuing power and weather derivatives on a mesh using finite difference methods. In Energy modeling and the management of uncertainty. London: Risk Books.
16. Potomac Economics, Ltd. (2004). 2003 State of the market report; New York ISO. Accessed May 20, 2006, from www.nyiso.com
17. Saravia, C. (2003). Speculative trading and market performance: The effect of arbitrageurs on efficiency and market power in the New York electricity market. (Working Paper #121). Center for the Study of Energy Markets (CSEM).
18. Shawky, H.A., Marathe, A., & Barrett, C.L. (2003). A first look at the empirical relation between spot and futures electricity prices in the US. Journal of Futures Markets, 23(10), 931-955.
19. Telser, L.G. (1958). Future trading and the storage of cotton and wheat. Journal of Political Economy, 66, 233-255.
20. Working, H. (1948). Theory of the inverse carrying charge in futures markets. Journal of Farm Economics, 30, 1-28.