Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25292
Authors: 
Borak, Szymon
Weron, Rafał
Year of Publication: 
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

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