Modeling electricity forward curve dynamics in the Nordic market

Nicolas Audet, Pirja Heiskanen, Jussi Keppo, Iivo Vehviläinen

Research output: Chapter in Book/Report/Conference proceedingChapterScientificpeer-review

Abstract

This paper considers the modelling of electricity forward curve dynamics with parameterized volatility and correlation structures. We estimate the model parameters by using the Nordic market’s price data and show how the model can be implemented into everyday industry practice.
Original languageEnglish
Title of host publicationModelling Prices in Competitive Electricity Markets
EditorsDerek W. Bunn
PublisherJohn Wiley & Sons Inc.
ISBN (Print)978-0-470-84860-9
Publication statusPublished - 2004
MoE publication typeA3 Part of a book or another research book

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