Essec\Faculty\Model\Contribution {#2205
  #_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" => "2024-04-23T22:22:02.000Z"
    "docTitle" => "Electricity Forward Curves with Thin Granularity: Theory and Empirical Evidence in the Hourly EPEX Spot Market"
    "docSurtitle" => "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 | 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: "fr"
  +"_type": "_doc"
  +"_score": 8.633517
  +"parent": null
}