Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market
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Publication:1753617
DOI10.1016/J.EJOR.2017.02.016zbMATH Open1403.91272OpenAlexW2591868126MaRDI QIDQ1753617FDOQ1753617
Andrea Roncoroni, Gianluca Fusai, Ruggero Caldana
Publication date: 29 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/17018/1/Caldana_Fusai_Roncoroni_AcceptedManuscript.pdf
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Cited In (4)
- On the construction of hourly price forward curves for electricity prices
- A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices
- Modeling risk contagion in the Italian zonal electricity market
- Application of continuous stochastic processes in energy market models
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