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Data for A Novel Semiparametric Structural Model for Electricity Forward Curves
- Citation Author(s):
- Submitted by:
- Marina Monteiro
- Last updated:
- Sun, 12/05/2021 - 17:20
- DOI:
- 10.21227/nemq-pe22
- License:
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Abstract
This dataset contains the input and output data used in the paper A Novel Semiparametric Structural Model for Electricity Forward Curves by Marina Dietze, Iago Chávarry, Ana Carolina Freire, Davi Valladão, Alexandre Street and Stein-Erik Fleten.
This folder contains two datasets, one with data resulted from the Brazilian and the other from the Nordic power markets. The name of the folders indicate which market the data inside refer to. On both, there are two files, described below.
--FILES:
1) Input: Composed by the swap prices of the market, for different maturities, and their corresponding delivery period. The first column ("trading_date") specifies the trading dates. The columns named "price_$MATURITY", presents the prices for the referred maturity. These columns are always followed by the ones with the start and end delivery dates of the swap.
2) Output: Presents the forward curve resulted from elementary prices, for each trading date. The first column ("trading_date") specifies the trading dates and the remaining columns the elementary prices ("maturity_$MATURITY") for a daily contract to be delivered $MATURITY days ahead.
For the Brazilian data, the prices are in R$/MWh, while for the Nordic, EUR/MWh.
