Higher moments in the fundamental specification of electricity forward prices
通过泰勒展开，将预期批发电价密度和需求密度的所有四阶矩（包括偏度和峰度）纳入电力远期溢价模型，以改进对冲头寸的风险管理。
An extended specification for estimating the risk premia necessary for the forward pricing of wholesale electricity is developed in order to respond to the increasing need for more precise risk management of hedging positions in practice. Using Taylor expansions, we provide new specifications for the electricity forward premium including its dependency on all four moments of the expected wholesale price density as well as the higher moments of the demand density including skewness and kurtosis. Overall we argue that previous models have been underspecified and that the extended formulation proposed in this analysis is robust and worthwhile.