A semiparametric factor model for electricity forward curve dynamics
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- Borak, Szymon & Weron, Rafal, 2008. "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper 10421, University Library of Munich, Germany.
References listed on IDEAS
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Cited by:
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013.
"Robust estimation and forecasting of the long-term seasonal component of electricity spot prices,"
Energy Economics, Elsevier, vol. 39(C), pages 13-27.
- Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafal, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," MPRA Paper 42563, University Library of Munich, Germany.
- Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports HSC/12/06, Hugo Steinhaus Center, Wroclaw University of Technology.
- Härdle, Wolfgang Karl & Majer, Piotr, 2012. "Yield curve modeling and forecasting using semiparametric factor dynamics," SFB 649 Discussion Papers 2012-048, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Weron, Rafał, 2014.
"Electricity price forecasting: A review of the state-of-the-art with a look into the future,"
International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
- Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafal & Janczura, Joanna, 2010.
"Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices,"
MPRA Paper
26628, University Library of Munich, Germany.
- Joanna Janczura & Rafal Weron, 2011. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," HSC Research Reports HSC/11/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Cartea, Álvaro & González-Pedraz, Carlos, 2012.
"How much should we pay for interconnecting electricity markets? A real options approach,"
Energy Economics, Elsevier, vol. 34(1), pages 14-30.
- Cartea, Álvaro & González-Pedraz, Carlos, 2010. "How much should we pay for interconnecting electricity markets? A real options approach," DEE - Working Papers. Business Economics. WB wb103206, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Yan Li & Liangjun Su & Yuewu Xu, 2015.
"A Combined Approach to the Inference of Conditional Factor Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
- Yan Li & Liangjun Su & Yuewu Xu, 2014. "A Combined Approach to the Inference of Conditional Factor Models," Working Papers 10-2014, Singapore Management University, School of Economics.
- Janczura, Joanna & Weron, Rafal, 2010.
"An empirical comparison of alternate regime-switching models for electricity spot prices,"
Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
- Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models or electricity spot prices," MPRA Paper 20546, University Library of Munich, Germany.
- Caldana, Ruggero & Fusai, Gianluca & Roncoroni, Andrea, 2017. "Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market," European Journal of Operational Research, Elsevier, vol. 261(2), pages 715-734.
- Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.
- Benth, Fred Espen & Paraschiv, Florentina, 2016. "A Structural Model for Electricity Forward Prices," Working Papers on Finance 1611, University of St. Gallen, School of Finance.
- Joanna Janczura & Rafał Weron, 2012.
"Efficient estimation of Markov regime-switching models: An application to electricity spot prices,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
- Joanna Janczura & Rafal Weron, 2011. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," HSC Research Reports HSC/11/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Benth, Fred Espen & Paraschiv, Florentina, 2018. "A space-time random field model for electricity forward prices," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 203-216.
- Lu, Xun & Su, Liangjun, 2015.
"Jackknife model averaging for quantile regressions,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
- Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
- Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- repec:hum:wpaper:sfb649dp2012-048 is not listed on IDEAS
- Liebl, Dominik, 2013. "Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective," MPRA Paper 50881, University Library of Munich, Germany.
- Peter Leoni & Pieter Segaert & Sven Serneels & Tim Verdonck, 2018. "Multivariate constrained robust M‐regression for shaping forward curves in electricity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1391-1406, November.
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More about this item
Keywords
Power market; forward electricity curve; dynamic semiparametric factor model;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2008-07-30 (Energy Economics)
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