Risk premium and seasonality of Nordic day-ahead electricity futures

dc.contributorAalto Universityen
dc.contributorAalto-yliopistofi
dc.contributor.advisorShin, Sean
dc.contributor.authorMäntysalo, Ville
dc.contributor.departmentRahoituksen laitosfi
dc.contributor.schoolKauppakorkeakoulufi
dc.contributor.schoolSchool of Businessen
dc.date.accessioned2023-01-22T17:03:44Z
dc.date.available2023-01-22T17:03:44Z
dc.date.issued2022
dc.description.abstractThis study examines the risk premiums and seasonality of Nordic day-ahead electricity futures by analyzing their forecast errors and prices. The data used in this study is from the Nord Pool market from 2010 to 2020. The previous literature has found that electricity futures have relatively high risk premiums when compared to other commodity futures. Similarly, to the previous findings, I find that Nordic day-ahead futures have high forecast errors that could be explained by high risk premiums or pricing inefficiencies. The seasonality of electricity futures is a topic on which the previous literature has not found common opinion. The results from this study suggest that day-ahead electricity future risk premiums do not have clear seasonal patterns.en
dc.format.extent28
dc.format.mimetypeapplication/pdfen
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/119049
dc.identifier.urnURN:NBN:fi:aalto-202301221403
dc.language.isoenen
dc.programmeRahoitusen
dc.subject.keywordday-ahead electricity futureen
dc.subject.keywordrisk premiumen
dc.subject.keywordseasonalityen
dc.subject.keywordNordicen
dc.titleRisk premium and seasonality of Nordic day-ahead electricity futuresen
dc.title-fi
dc.typeG1 Kandidaatintyöfi
dc.type.ontasotBachelor's thesisen
dc.type.ontasotKandidaatintyöfi

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