A semiparametric factor model for electricity forward curve dynamics
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.
|Date of creation:||10 Jul 2008|
|Publication status:||Forthcoming in Journal of Energy Markets 1 (3) (2008): pp. 3-16|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
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"Time Series Modelling With Semiparametric Factor Dynamics,"
Journal of the American Statistical Association,
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