Blar i NTNU Open på forfatter "Paraschiv, Florentina"
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Modeling the multivariate dynamic dependence structure of commodity futures portfolios
Aepli, Matthias, D.; Füss, Roland; Henriksen, Tom Erik Sønsteng; Paraschiv, Florentina (Journal article, 2017)This paper examines the time-varying dependence structure of commodity futures portfolios based on multivariate dynamic copula models. The importance of accounting for time-variation is emphasized in the context of the ... -
Natural gas price dynamics and the role of gas in the European energy transition
Halser, Christoph (Doctoral theses at NTNU;2024:277, Doctoral thesis, 2024)Natural gas has become a vital fuel for the global energy system. In addition to enabling emission reductions through coal-to-gas switching in developing countries, natural gas also accompanies the decarbonization pathway ... -
The Nuclear Power Dilemma — Between Perception and Reality
Paraschiv, Florentina; Mohamad, Dima (Peer reviewed; Journal article, 2020)Motivated by the environmental challenges and the increase in energy demand, this review assesses the suitability of nuclear power production as an alternative option to using fossil fuels. First, we assess the competitiveness ... -
The Nuclear Power Dilemma—Between Perception and Reality
Paraschiv, Florentina; Mohamad, Dima (Peer reviewed; Journal article, 2020)Motivated by the environmental challenges and the increase in energy demand, this review assesses the suitability of nuclear power production as an alternative option to using fossil fuels. First, we assess the competitiveness ... -
Oil–gas price relationships on three continents: Disruptions and equilibria
Halser, Christoph; Paraschiv, Florentina; Russo, Marianna (Peer reviewed; Journal article, 2023)In this paper, we revisit traditional gas pricing formulas and show the ever-changing relationships between natural gas and oil prices in Europe, the United States, and Japan between 2009 and 2021. The results suggest a ... -
On the Construction of Hourly Price Forward Curves for Electricity Prices
Kiesel, Rüdiger; Paraschiv, Florentina; Sætherø, Audun (Journal article; Peer reviewed, 2018)There are several approaches in the literature for the derivation of price forward curves (PFCs) which distinguish among each other by the procedure employed for the derivation of seasonality shapes, smoothing technique ... -
Pathways to Overcoming Natural Gas Dependency on Russia—The German Case
Halser, Christoph; Paraschiv, Florentina (Peer reviewed; Journal article, 2022)The war in Ukraine has sensitized German policy makers towards the negative economic impact of a curtailment of natural gas flows from Russia. Given its large import dependency, Germany has implemented regulatory measures ... -
Portfolio Stress Testing Applied to Commodity Futures
Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, Margrethe Ringkjøb (Journal article; Peer reviewed, 2020)In this article, we construct a portfolio of commodity futures which mimics the Dow Jones Commodity Index and perform an extensive stress testing exercise with a focus on hybrid scenarios. The increased volume of investments ... -
Portfolio Stress Testing Applied to Commodity Futures
Reese, Stine Marie; Skjelstad, Margrethe Ringkjøb (Master thesis, 2018)In this thesis, we construct a portfolio of commodity futures, which mimics the Dow Jones Commodity Index, and perform an extensive stress testing exercise with a focus on hybrid scenarios. Limitations to the risk management ... -
Reporting on the research track on "Pricing and optimization of intraday/day-ahead electricity and futures contracts" Mathematics for Energy Systems program, Isaac Newton Institute
Paraschiv, Florentina (Research report, 2019) -
Short-Term Trading around the Ex-Dividend Day: Evidence from the Oslo Stock Exchange
Karlsen, Aleksander Einvik; Sandnes, Vegard Kaalen (Master thesis, 2023)Denne oppgaven utforsker potensialet for å generere kumulativ gjennomsnittlig abnormal avkastning (CAAR) ved å implementere tre kortsiktige handelsstrategier rundt eks-dagen for utbytteaksjer notert på Oslo Børs (OSE) ... -
The relationship between ESG and corporate financial performance: An empirical analysis of the S&P 500 and Stoxx 600 companies
Lismoen, Håvard; Moum, Peder Martin (Master thesis, 2020)Denne studien undersøker relasjonen mellom finansiell prestasjon og ESG for selskap som inkluderes i S&P 500 og Stoxx 600 indeksene, og hvilke implikasjoner denne relasjonen gir investorer. Studien baserer seg på ESG data ... -
Transparency and Explainability in Financial Data Science
Li, Wei (Doctoral theses at NTNU;2021:385, Doctoral thesis, 2021)Financial data science has experienced rapid developments in recent years with the expansion of ever-growing data at an exponential rate. The proponents of data science argue that data science techniques will dominate and ...