Identifying Risk Factors and Their Premia: A Study on Electricity Prices
“We show that model specification plays an important role in detecting time varying risk premia.”
AssetMulti-assetfutures
StrategyFactor investingcarry trade
TechniqueBayesianlinear factor model
GeographyEurope
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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