|
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  |
| 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
|
| |
| | |
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.
|