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Samuelson hypothesis and electricity derivative markets

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Academic year: 2021

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Figure 1 gives an example of such an effect. It represents the prices of electricity on a European futures market (the NordPool) around the Fukushima nuclear disaster of March 2011
Table 1: Data features
Figure 2: Continuous time series of prices, 2008-2013
Table 5 reproduces for each market the values of the volatilities - more precisely, their median - according to the maturity
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