Multivariate constrained robust M-regression for shaping forward curves in electricity markets
Author:
Affiliation:
1. Department of Mathematics; KU Leuven; Leuven Belgium
2. Statistics, Machine Learning and Artificial Intelligence, BASF Corporation; Tarrytown New York
Funder
KU Leuven
Fonds Wetenschappelijk Onderzoek
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/fut.21958/fullpdf
Reference37 articles.
1. Fitting yield curves and forward rate curves with maximum smoothness;Adams;Journal of Fixed Income,1994
2. Extracting and applying smooth forward curves from average-based commodity contracts with seasonal variation;Benth;Journal of Derivatives,2007
3. When supply meets demand: The case of hourly spot electricity prices;Boogert;IEEE Transactions on Power Systems,2008
4. A semiparametric factor model for electricity forward curve dynamics;Borak;Journal of Energy Markets,2008
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