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dc.contributor.authorKiesel, Rüdiger
dc.contributor.authorParaschiv, Florentina
dc.contributor.authorSætherø, Audun
dc.date.accessioned2019-07-09T06:10:30Z
dc.date.available2019-07-09T06:10:30Z
dc.date.created2018-02-20T16:09:18Z
dc.date.issued2018
dc.identifier.citationComputational Management Science. 2018, 1-25.nb_NO
dc.identifier.issn1619-697X
dc.identifier.urihttp://hdl.handle.net/11250/2603787
dc.description.abstractThere 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 and by the design of the optimization procedure. However, a comparative study to highlight the strengths and weaknesses of different methods is missing. For the construction of PFCs we typically incorporate the information about market expectation from the observed futures prices and the deterministic seasonal effects of electricity prices. In most existing approaches, the seasonality shape is fitted to historically observed spot prices, and it is an exogenous input to the optimization procedure. As seasonal effects on electricity prices differ between markets, our model allows a more general and flexible definition of the seasonality shape. In this study, we propose an alternative calibration procedure for the seasonality shape, where the level of futures as well as historical spot prices are simultaneously taken into account in a joint optimization approach. We discuss comparatively the features of existing methods for PFCs, and highlight the advantages of our optimization procedure.nb_NO
dc.language.isoengnb_NO
dc.publisherSpringer Verlagnb_NO
dc.titleOn the Construction of Hourly Price Forward Curves for Electricity Pricesnb_NO
dc.title.alternativeOn the Construction of Hourly Price Forward Curves for Electricity Pricesnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionpublishedVersionnb_NO
dc.source.pagenumber1-25nb_NO
dc.source.journalComputational Management Sciencenb_NO
dc.identifier.doi10.1007/s10287-018-0300-6
dc.identifier.cristin1567138
dc.description.localcodeThis article will not be available due to copyright restrictions (c) 2018 by Springernb_NO
cristin.unitcode194,60,10,0
cristin.unitnameNTNU Handelshøyskolen
cristin.ispublishedtrue
cristin.fulltextpreprint
cristin.qualitycode1


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