• A spot-forward model for electricity prices with regime shifts 

      Paraschiv, Florentina; Fleten, Stein-Erik; Schürle, Michael (Journal article; Preprint; Peer reviewed, 2014)
      We propose a novel regime-switching approach for electricity prices in which simulated and forecasted prices are consistent with currently observed forward prices. Additionally, the model is able to reproduce spikes and ...
    • Forecasting Price Distributions in the German Electricity Market 

      Westgaard, Sjur; Paraschiv, Florentina; Ekern, Lina Lasessen; Naustdal, Ingrid; Roald, Malene (Chapter, 2018)
      Electricity price distributional forecasts are crucial to energy risk management. In this paper we model and forecast Value at Risk (VaR) for the German EPEX spot price using variable selection with quantile regression, ...