Essec\Faculty\Model\Contribution {#2189
#_index: "academ_contributions"
#_id: "1077"
#_source: array:26 [
"id" => "1077"
"slug" => "electricity-forward-curves-with-thin-granularity-theory-and-empirical-evidence-in-the-hourly-epex-spot-market"
"yearMonth" => "2017-09"
"year" => "2017"
"title" => "Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market"
"description" => "CALDANA, R., FUSAI, G. et RONCORONI, A. (2017). Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market. <i>European Journal of Operational Research</i>, 261(2), pp. 715-734."
"authors" => array:3 [
0 => array:3 [
"name" => "RONCORONI Andrea"
"bid" => "B00006589"
"slug" => "roncoroni-andrea"
]
1 => array:1 [
"name" => "CALDANA R."
]
2 => array:1 [
"name" => "FUSAI G."
]
]
"ouvrage" => ""
"keywords" => array:4 [
0 => "Energy finance"
1 => "Forward pricing"
2 => "Electricity markets"
3 => "Forward curve construction"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0377221717301224"
"publicationInfo" => array:3 [
"pages" => "715-734"
"volume" => "261"
"number" => "2"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We propose a constructive definition of electricity forward price curve with cross-sectional timescales featuring hourly frequency on. The curve is jointly consistent with both risk-neutral market informa- tion represented by baseload and peakload futures quotes, and historical market information, as mirrored by periodical patterns exhibited by the time series of day-ahead prices. From a methodological stand- point, we combine nonparametric filtering with monotone convex interpolation such that the resulting forward curve is pathwise smooth and monotonic, cross-sectionally stable, and time local. From an em- pirical standpoint, we exhibit these features in the context of EPEX Spot and EEX Derivative markets. We perform a backtesting analysis to assess the relative quality of our forward curve estimate compared to the benchmark market model of Benth, Koekebakker, and Ollmar (2007)."
"en" => "We propose a constructive definition of electricity forward price curve with cross-sectional timescales featuring hourly frequency on. The curve is jointly consistent with both risk-neutral market informa- tion represented by baseload and peakload futures quotes, and historical market information, as mirrored by periodical patterns exhibited by the time series of day-ahead prices. From a methodological stand- point, we combine nonparametric filtering with monotone convex interpolation such that the resulting forward curve is pathwise smooth and monotonic, cross-sectionally stable, and time local. From an em- pirical standpoint, we exhibit these features in the context of EPEX Spot and EEX Derivative markets. We perform a backtesting analysis to assess the relative quality of our forward curve estimate compared to the benchmark market model of Benth, Koekebakker, and Ollmar (2007)."
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2024-10-14T01:21:59.000Z"
"docTitle" => "Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market"
"docSurtitle" => "Journal articles"
"authorNames" => "<a href="/cv/roncoroni-andrea">RONCORONI Andrea</a>, CALDANA R., FUSAI G."
"docDescription" => "<span class="document-property-authors">RONCORONI Andrea, CALDANA R., FUSAI G.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2017</span>"
"keywordList" => "<a href="#">Energy finance</a>, <a href="#">Forward pricing</a>, <a href="#">Electricity markets</a>, <a href="#">Forward curve construction</a>"
"docPreview" => "<b>Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market</b><br><span>2017-09 | Journal articles </span>"
"docType" => "research"
"publicationLink" => "<a href="https://www.sciencedirect.com/science/article/abs/pii/S0377221717301224" target="_blank">Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market</a>"
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.493965
+"parent": null
}