Ex ante and ex post risk premiums in electricity futures
研究了2013-2024年北欧电力期货的事后与事前风险溢价，发现事后溢价通常高于事前，夏季溢价显著为负，且在水电受限时期溢价上升，偏度在秋冬季节为正。
This paper examines ex post and ex ante risk premiums on Nordic electricity futures over different time horizons, using commercial-grade forecasts from 2013–2024. It assesses the variation in risk premiums with supply scarcity and with seasons, and analyzes higher moments (skewness and kurtosis) in these contexts. The study finds that ex post premiums usually surpass ex ante premiums, with significantly negative premiums in summer across all contracts. Additionally, risk premiums tend to increase during periods of limited hydropower production opportunities. The analysis highlights the importance of skewness in risk premiums, noting positive skewness during autumn and winter.