Publication: Tail risk of electricity futures
dc.affiliation.dpto | UC3M. Departamento de Economía de la Empresa | es |
dc.contributor.author | Peña, Juan Ignacio | |
dc.contributor.author | Rodríguez, Rosa | |
dc.contributor.author | Mayoral, Silvia | |
dc.contributor.funder | Comunidad de Madrid | |
dc.contributor.funder | Ministerio de Ciencia e Innovación (España) | |
dc.date.accessioned | 2021-11-18T19:03:13Z | |
dc.date.available | 2022-09-10T23:00:06Z | |
dc.date.issued | 2020-09-05 | |
dc.description.abstract | 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 NordPool, French, German, and Spanish markets in 2008–2017. As measures of tail risk, we use the one-day-ahead Value-at-Risk (VaR) and the Expected Shortfall (ES). With VaR, the AR (1)-GARCH (1,1) model with Student-t distribution is the best-performing specification with 88% cases in which the Fisher test accepts the model, with a success rate of 94% in the left tail and of 81% in the right tail. The model passes the test of model adequacy in the 100% of the cases in the NordPool and German markets, but only in the 88% and 63% of the cases in the Spanish and French markets. With ES, this model passes the test of model adequacy in 100% of cases in all markets. Historical Simulation and Quantile Regression-based approaches misestimate tail risks. The right-hand tail of the returns is more difficult to model than the left-hand tail and therefore financial regulators and the administrators of futures markets should take these results into account when setting additional regulatory capital requirements and margin account regulations to short positions. | en |
dc.description.sponsorship | We acknowledge financial support from FUNCAS, through grant PRELEC2020–2017/00085/00, from DGICYT, through grant ECO2016–77807-P, and from CAM, through grant EARLYFIN-CM, #S2015/HUM-3353 | en |
dc.identifier.bibliographicCitation | Peña, J. I., Rodríguez, R., & Mayoral, S. (2020). Tail risk of electricity futures. Energy Economics, 91, p. 104886 | es |
dc.identifier.doi | https://doi.org/10.1016/j.eneco.2020.104886 | |
dc.identifier.issn | 0140-9883 | |
dc.identifier.publicationfirstpage | 1 | |
dc.identifier.publicationlastpage | 16 | |
dc.identifier.publicationtitle | Energy Economics | en |
dc.identifier.publicationvolume | 91 | |
dc.identifier.uri | https://hdl.handle.net/10016/33648 | |
dc.identifier.uxxi | AR/0000026835 | |
dc.language.iso | eng | |
dc.publisher | Elsevier | en |
dc.relation.projectID | Comunidad de Madrid. S2015/HUM-3353 | |
dc.relation.projectID | Gobierno de España. ECO2016-77807-P | |
dc.rights | © Elsevier | en |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | Empresa | es |
dc.subject.jel | C51 | |
dc.subject.jel | G13 | |
dc.subject.jel | L94 | |
dc.subject.jel | Q40 | |
dc.subject.other | Electricity markets | en |
dc.subject.other | Futures markets | en |
dc.subject.other | Value at risk | en |
dc.subject.other | Expected shortfall | en |
dc.subject.other | Backtesting | es |
dc.title | Tail risk of electricity futures | en |
dc.type | research article | * |
dc.type.hasVersion | AM | * |
dspace.entity.type | Publication |
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