Publication:
Tail risk of electricity futures

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorPeña, Juan Ignacio
dc.contributor.authorRodríguez, Rosa
dc.contributor.authorMayoral, Silvia
dc.contributor.funderComunidad de Madrid
dc.contributor.funderMinisterio de Ciencia e Innovación (España)
dc.date.accessioned2021-11-18T19:03:13Z
dc.date.available2022-09-10T23:00:06Z
dc.date.issued2020-09-05
dc.description.abstractThis 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.sponsorshipWe 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-3353en
dc.identifier.bibliographicCitationPeña, J. I., Rodríguez, R., & Mayoral, S. (2020). Tail risk of electricity futures. Energy Economics, 91, p. 104886es
dc.identifier.doihttps://doi.org/10.1016/j.eneco.2020.104886
dc.identifier.issn0140-9883
dc.identifier.publicationfirstpage1
dc.identifier.publicationlastpage16
dc.identifier.publicationtitleEnergy Economicsen
dc.identifier.publicationvolume91
dc.identifier.urihttps://hdl.handle.net/10016/33648
dc.identifier.uxxiAR/0000026835
dc.language.isoeng
dc.publisherElsevieren
dc.relation.projectIDComunidad de Madrid. S2015/HUM-3353
dc.relation.projectIDGobierno de España. ECO2016-77807-P
dc.rights© Elsevieren
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEmpresaes
dc.subject.jelC51
dc.subject.jelG13
dc.subject.jelL94
dc.subject.jelQ40
dc.subject.otherElectricity marketsen
dc.subject.otherFutures marketsen
dc.subject.otherValue at risken
dc.subject.otherExpected shortfallen
dc.subject.otherBacktestinges
dc.titleTail risk of electricity futuresen
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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