دانلود مقاله ISI انگلیسی شماره 94513
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
94513 2017 20 صفحه PDF سفارش دهید 15441 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : European Journal of Operational Research, Volume 261, Issue 2, 1 September 2017, Pages 715-734

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چکیده انگلیسی

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 information 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 standpoint, 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 empirical 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).

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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.