The main aim of this paper is to develop and calibrate
an econometric model for modeling prices of long term electricity
futures contracts. The calibration of our model is performed on data
from EEX AG allowing us to capture the specific features of German
electricity market. The data sample contains several structural breaks
which have to be taken into account for modeling. We model the data
with an ARIMAX model which reveals high correlation between the
price of electricity futures contracts and prices of LT futures
contracts of fuels (namely coal, natural gas and crude oil). Besides
this, also a share price index of representative electricity companies
traded on Xetra, spread between 10Y and 1Y German bonds and
exchange rate between EUR and USD appeared to have significant
explanatory power over these futures contracts on EEX.
[1] Diko, P., Lawford, S. and Limpens, V.: "Risk Premia in Electricity
Forward Prices", Studies in Nonlinear Dynamics & Econometrics, Vol.
10, no. 3, pp. 1358-1358, 2006.
[2] Povh, M., Fleten, S.-E: "Modeling LT electricity forward prices",
MPRA Paper No. 13162, February 2009. http://mpra.ub.unimuenchen.
de/13162/
[3] Povh, M., Golob, R., Fleten, S.-E; "Modelling the structure of LT
electricity forward prices at Nord Pool", May 2009.
http://ssrn.com/abstract=927172
[4] Redl, C.: "Modelling electricity futures", Young Energy Engineers and
Economists Seminar - TU, 2007 Dresded.
http://www.classiccmp.org/transputer/finengineer/%5BVienna%20Univ
ersity,%20Redl%5D%20Modeling%20Electricity%20Futures.pdf
[5] Redl, C., Bunn, D. W.: "Components of the forward premium in
electricity", Energy Finance / INREC 2010, Essen, 2010.
[1] Diko, P., Lawford, S. and Limpens, V.: "Risk Premia in Electricity
Forward Prices", Studies in Nonlinear Dynamics & Econometrics, Vol.
10, no. 3, pp. 1358-1358, 2006.
[2] Povh, M., Fleten, S.-E: "Modeling LT electricity forward prices",
MPRA Paper No. 13162, February 2009. http://mpra.ub.unimuenchen.
de/13162/
[3] Povh, M., Golob, R., Fleten, S.-E; "Modelling the structure of LT
electricity forward prices at Nord Pool", May 2009.
http://ssrn.com/abstract=927172
[4] Redl, C.: "Modelling electricity futures", Young Energy Engineers and
Economists Seminar - TU, 2007 Dresded.
http://www.classiccmp.org/transputer/finengineer/%5BVienna%20Univ
ersity,%20Redl%5D%20Modeling%20Electricity%20Futures.pdf
[5] Redl, C., Bunn, D. W.: "Components of the forward premium in
electricity", Energy Finance / INREC 2010, Essen, 2010.
@article{"International Journal of Mechanical, Industrial and Aerospace Sciences:57361", author = "Robest Flasza and Milan Rippel and Jan Solc", title = "Modeling Prices of Electricity Futures at EEX", abstract = "The main aim of this paper is to develop and calibrate
an econometric model for modeling prices of long term electricity
futures contracts. The calibration of our model is performed on data
from EEX AG allowing us to capture the specific features of German
electricity market. The data sample contains several structural breaks
which have to be taken into account for modeling. We model the data
with an ARIMAX model which reveals high correlation between the
price of electricity futures contracts and prices of LT futures
contracts of fuels (namely coal, natural gas and crude oil). Besides
this, also a share price index of representative electricity companies
traded on Xetra, spread between 10Y and 1Y German bonds and
exchange rate between EUR and USD appeared to have significant
explanatory power over these futures contracts on EEX.", keywords = "electricity futures, EEX, ARIMAX, emissionallowances", volume = "5", number = "6", pages = "1069-5", }