This paper investigates the intraday price volatility process in four Australian wholesale
electricity markets; namely New South Wales, Queensland, South Australia and Victoria. The …

This article proposes an empirical study of the Samuelson effect in electricity markets. Our
motivations are twofold. First, although the literature largely assesses the decreasing pattern …

The restructuring and deregulation of global electricity markets has brought about
fundamental changes in the behaviour of wholesale spot prices. In turn, this has fostered a …

Four electricity futures markets on NYMEX between 1996 and 1999 are examined using a
TARCH model. The evidence suggests traders had an asymmetric reaction to new …

This paper analyses the volatility of wholesale electricity markets for five markets in Europe.
Using GARCH models after filtering outliers, significant asymmetric effects and volatility …

In his seminal article, Samuelson (1965) formulated the proposition that futures prices are
more volatile the closer a particular contract is to expiry. This paper applies testing …

Market efficiency is analysed for the Iberian Power Futures Market and other European
Power Markets, as well as other fuel markets through evaluation of ex-post Forward Risk …

Samuelson (1965) devised that futures price volatility increases as the futures contract
approaches its expiration. The relation amid the volatility and time to maturity has significant …

In March 1996 the US introduced electricity futures contracts which provided for delivery at
the California/Oregon border (COB) and Palo Verde switchyard. These were followed in July …

This article examines the impact of improving energy efficiency of office buildings on their
financial risk. While multiple studies report a sustainability premium little is known about the …