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

DOI10.1016/j.ejor.2017.02.016zbMath1403.91272OpenAlexW2591868126MaRDI QIDQ1753617

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

zbMATH Keywords

electricity marketsforward pricingenergy financeforward curve construction

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (4)

On the construction of hourly price forward curves for electricity prices ⋮ Application of continuous stochastic processes in energy market models ⋮ A structural Heath–Jarrow–Morton framework for consistent intraday spot and futures electricity prices ⋮ Modeling risk contagion in the Italian zonal electricity market

Cites Work

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• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Interpolation Methods for Curve Construction
• The Hodrick--Prescott filter, the Slutzky effect, and the distortionary effect of filters

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