Electricity forward curves with thin granularity: theory and empirical evidence in the hourly EPEXspot market

DOI10.1016/J.EJOR.2017.02.016MaRDI QIDQ1753617zbMATH OpenOpenAlexFDO

Authors Ruggero Caldana, Gianluca Fusai, Andrea Roncoroni

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

zbMATH Keywords

electricity marketsforward pricingenergy financeforward curve construction

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 1724303 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• A noisy principal component analysis for forward rate curves
• Accurate Monotonicity Preserving Cubic Interpolation
• Electricity futures price models: calibration and forecasting
• Estimation of objective and risk-neutral distributions based on moments of integrated volatility
• Interpolation Methods for Curve Construction
• Low frequency filtering and real business cycles
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters
• Weekly self-scheduling, forward contracting, and pool involvement for an electricity producer. An adaptive robust optimization approach

Cited in

(7)

• 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
• An ambit stochastic approach to pricing electricity forward contracts: the case of the German energy market
• Higher moments in the fundamental specification of electricity forward prices
• Modeling risk contagion in the Italian zonal electricity market
• A multifactor polynomial framework for long-term electricity forwards with delivery period
• Application of continuous stochastic processes in energy market models

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