Blar i NTNU Handelshøyskolen på tidsskrift "Computational Management Science"

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    • 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 ...

    • 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 ...