Search results for " temporal separation"

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CORRELATIONS AMONG FORWARD RETURNS IN THE NORDIC ELECTRICITY MARKET

2009

I analyze empirical correlations of electricity forward returns from the perspective of a random field model that specifies the correlations in terms of the temporal separation between forward maturities. It turns out that temporal separation cannot fully account for the empirical forward return correlations. Specifically, the relation between correlations and temporal separation does not seem to be invariant across segments of the electricity forward market or trading periods.

Random fieldFinancial economicsbusiness.industrySeparation (statistics)EconomicsElectricity forward returns correlations temporal separation random fieldElectricity marketForward marketElectricityInvariant (mathematics)businessGeneral Economics Econometrics and FinanceFinanceInternational Journal of Theoretical and Applied Finance

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