Modeling electricity forward curve dynamics in the Nordic market

Nicolas Audet; Pirja Heiskanen; Jussi Keppo; Iivo Vehviläinen

Modeling electricity forward curve dynamics in the Nordic market

Nicolas Audet
, Pirja Heiskanen
, Jussi Keppo
, Iivo Vehviläinen

Not published at Aalto University

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Scientific › peer-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 language	English
Title of host publication	Modelling Prices in Competitive Electricity Markets
Editors	Derek W. Bunn
Publisher	Wiley
Pages	251-265
ISBN (Print)	978-0-470-84860-9
Publication status	Published - 2004
MoE publication type	A3 Book section, Chapters in research books

Cite this

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title = "Modeling electricity forward curve dynamics in the Nordic market",

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{\textquoteright}s price data and show how the model can be implemented into everyday industry practice.",

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AU - Heiskanen, Pirja

AU - Keppo, Jussi

AU - Vehviläinen, Iivo

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AB - 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.

M3 - Chapter

SN - 978-0-470-84860-9

SP - 251

EP - 265

BT - Modelling Prices in Competitive Electricity Markets

A2 - Bunn, Derek W.

PB - Wiley

ER -

Modeling electricity forward curve dynamics in the Nordic market

Abstract

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