Showing q-fin.RMShow all
2 papers · 1 filter
q-fin.RM2022
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…
q-fin.RM2022
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…