EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/25292
  
Title:A semiparametric factor model for electricity forward PDF Logo
Authors:Borak, Szymon
Weron, Rafał
Issue Date:2008
Series/Report no.:SFB 649 discussion paper 2008,050
Abstract:In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a parsimonious factor representation of the curve. Using closing prices from the Nordic power market Nord Pool we provide empirical evidence that the DSFM is an efficient tool for approximating forward curve dynamics.
Subjects:Power market
forward electricity curve
dynamic semiparametric factor model
JEL:C51
G13
Q40
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
584547382.PDF1.44 MBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/25292

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.