Publications
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Li, W. & Paraschiv, F. (2021) Modelling the Evolution of Wind and Solar Power Infeed Forecasts. Journal of Commodity Markets (forthcoming).
Wahlstrøm, R.R., Paraschiv, F. & Schürle, M. (2021). A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. Computational Economics. https://doi.org/10.1007/s10614-021-10113-w
Kremer, M., Kiesel, R., Paraschiv, F. (2021): The impact of renewable energies for continuous intraday electricity trading, Philosophical Transactions of the Royal Society A, vol. 379 (2202).
Paraschiv, F., Reese, S.M., Ringkjøb Skjelstad, M. (2020). Portfolio Stress Testing Applied to Commodity Futures. Computational Management Science https://doi.org/10.1007/s10287-020-00370-9.
Paraschiv, F., & Mohamad, D. (2020) The Nuclear Power Dilemma—Between Perception and Reality. Energies. vol. 13 (22).
Kiesel, R., Paraschiv, F. & Sæthero, A. (2019). On the construction of price forward curves for electricity, Computational Management Science, 16, 345-369.
Webinar Florentina Paraschiv, University of Cambridge, Isaac Newton Institute, MES programme: "Econometrics of Intraday Electricity Prices". (video)
Spada, Matteo; Paraschiv, Florentina; Burgherr, Peter (2018): A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies. In: Energy 154, S. 277–288.
Kiesel, Ruediger; Paraschiv, Florentina; Sætherø, Audun. (2018) On the Construction of Hourly Price Forward Curves for Electricity Prices. Computational Management Science.
Spada, M., Paraschiv, F., Burgherr, P. (2017). A comparison of risk measures for accidents in the energy sector and their implications on decision-making strategies, under review in Energy.
Benth, F.E. & Paraschiv, F. (2017). A structural model for electricity forward prices, Journal of Banking and Finance, forthcoming, Best Paper Award, Energy and Commodity Finance Conference, Paris, 2016.
Kiesel, R. & Paraschiv, F. (2017). Econometric analysis of 15-minute intraday electricity prices, under review in Energy Economics, 64, 77—90.
Paraschiv, F., Bunn, D. & Westgaard, S. (2017). A fully parametric approach for quantile regressions with time-varying coefficients, under review available at: http://bit.ly/1sxA9Sf
Aepli, M.D., Frauendorfer, K., Füss, R., Paraschiv, F., (2016). The Predictive Power of Multivariate Dynamic Copula Models, under review, available at: http://bit.ly/1sMJsyo
Hagfors, L.I., Paraschiv, F., Prokopczuk, M. & Westgaard, S. (2016) Prediction of extreme price occurrences in the German day-ahead electricity market, Quantitative Finance, http://dx.doi.org/10.1080/14697688.2016.1211794
Hagfors, L.I., Molnar, P., Paraschiv, F. & Westgaard, S. (2016). Using quantile regression to analyze the effect of renewables on EEX price formation, Renewable Energy and Environmental Sustainability, 32(1), DOI: 10.1051/rees/2016036
Keles, D., Scelle, J., Paraschiv, F. & Fichtner, W. (2015). Extended forecast methods for day-ahead electricity spot prices applying artificial neural networks (ANN), Applied Energy, 162, 218—230.
Paraschiv, F., Hadzi-Mishev, R., & Keles, D., (2015). Extreme Value Theory for heavy-tails in electricity prices. Journal of Energy Markets, forthcoming.
Paraschiv, F., Mudry, P.-A. & Andries, A., (2015). Stress testing techniques for portfolios of commodity futures, using extreme-value theory and copulas, Economic Modelling, 50, 9—18.
Paraschiv, F., Fleten, S.-E. & Schürle, M. (2015). A spot-forward model for electricity prices with regime shifts. Energy Economics, 47, 142—153, doi:10.1016/j.eneco.2014.11.003
Paraschiv, F., Erni, D. & Pietsch, R. (2014). The impact of renewable energies on EEX day-ahead electricity prices. Energy Policy, 73, 196—210, http://dx.doi.org/10.1016/j.enpol.2014.05.004
Kovacevic, R., & Paraschiv, F. (2014). Medium-term planning for thermal electricity production. OR Spectrum, 36(3), 723–759. (Best Paper Award, Conference Energy Finance, Essen 2013).
Daviou, A. & Paraschiv, F. (2014). Investors’ behavior under changing market volatility. Journal of Investing, 23(2), 96–113.
Celik, G., Frauendorfer, K. & Paraschiv, F. (2014). Joint dynamics of European and American oil prices. In M. Prokopczuk (ed.): Energy Pricing Models: Recent Advances, Methods, and Tools, published by Palgrave Macmillan, NY (forthcoming).
Mudry, P.-A. & Paraschiv, F. (2014). Stress testing techniques for portfolios of commodity futures, using extreme-value theory and copulas. In R.J. Fonseca et al. (eds.): Computational Management Science. Lecture Notes in Economics and Mathematical Systems, 682, DOI 10.1007/978-3-319-20430-7_3
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