4 papers
Default Supply Auctions in Electricity Markets: Challenges and Proposals
Juan Ignacio Peña, Rosa Rodriguez
This paper studies premiums got by winning bidders in default supply auctions, and speculation and hedging activities in power derivatives markets in dates near auctions. Data incl…
Time-zero Efficiency of European Power Derivatives Markets
Juan Ignacio Peña, Rosa Rodriguez
We study time-zero efficiency of electricity derivatives markets. By time-zero efficiency is meant a sequence of prices of derivatives contracts having the same underlying asset bu…
Tail Risk of Electricity Futures
Juan Ignacio Peña, Rosa Rodriguez, Silvia Mayoral
This paper compares the in-sample and out-of-sample performance of several models for computing the tail risk of one-month and one-year electricity futures contracts traded in the…
Are EU Climate and Energy Package 20-20-20 targets achievable and compatible? Evidence from the impact of renewables on electricity prices
Juan Ignacio Peña, Rosa Rodriguez
This paper studies the realizability and compatibility of the three CEP2020 targets, focusing on electricity prices. We study the impact of renewables and other fundamental determi…