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Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2008,050
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Power market
forward electricity curve
dynamic semiparametric factor model
JEL: 
C51
G13
Q40
Dokumentart: 
Working Paper

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