Florentina Paraschiv

Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School

Professor of Financial Economics

Klæbuveien 72

Trondheim, NO-7030

Norway

University of St. Gallen, Institute for Operations Research and Computational Finance

Lehrauftrag

Bodanstrasse 6

St. Gallen, 9000

Switzerland

SCHOLARLY PAPERS

14

DOWNLOADS

2,584

SSRN CITATIONS
Rank 34,248

SSRN RANKINGS

Top 34,248

in Total Papers Citations

18

CROSSREF CITATIONS

6

Scholarly Papers (14)

1.

Econometric Analysis of 15-Minute Intraday Electricity Prices

University of St.Gallen, School of Finance Research Paper No. 2015/21
Number of pages: 44 Posted: 10 Oct 2015 Last Revised: 23 Nov 2016
Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 715 (44,030)
Citation 9

Abstract:

Loading...

intraday electricity prices, bidding behavior, renewable energy, forecasting model

2.

An Econometric Model for Intraday Electricity Trading

Philosophical Transactions of the Royal Society A, Forthcoming
Number of pages: 26 Posted: 31 Dec 2019 Last Revised: 03 Aug 2020
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 582 (57,601)
Citation 6

Abstract:

Loading...

Intraday electricity market; Econometric modeling; 15-minute contracts; Renewable power forecasts; Merit order curve; Threshold regression

3.

A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Models

Published in Computational Economics (https://doi.org/10.1007/s10614-021-10113-w), University of St.Gallen, School of Finance Research Paper No. 2020/06
Number of pages: 58 Posted: 20 Jul 2020 Last Revised: 27 May 2021
Ranik Raaen Wahlstrøm, Florentina Paraschiv and Michael Schürle
Norwegian University of Science and Technology (NTNU) - NTNU Business School, Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School and University of St. Gallen - School of Finance
Downloads 253 (149,019)

Abstract:

Loading...

Parsimonious yield curve models, Term structure, Monetary policy decisions, Non-linear least squares, Initial values

4.

A Space-Time Random Field Model for Electricity Forward Prices

University of St.Gallen, School of Finance Research Paper No. 2016/11
Number of pages: 41 Posted: 24 May 2016 Last Revised: 23 Nov 2016
Fred Espen Benth and Florentina Paraschiv
University of Oslo - Department of Mathematics and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 197 (189,000)
Citation 3

Abstract:

Loading...

spatio-temporal models, price forward curves, term structure volatility, risk premia, electricity markets

5.

Electricity Spot and Derivatives Pricing under Market Coupling

University of St.Gallen, School of Finance Research Paper No. 13/23
Number of pages: 41 Posted: 13 Jan 2014 Last Revised: 20 Aug 2017
Roland Füss, Steffen Mahringer, Florentina Paraschiv and Marcel Prokopczuk
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance, Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 194 (191,644)

Abstract:

Loading...

Electricity Pricing, Fundamental Model, Multi-Market Modeling, Derivatives

6.

Modelling the Multivariate Dynamic Dependence Structure of Commodity Futures Portfolios

Journal of Commodity Markets, Vol. 6, No. 1, 66-87, 2017
Number of pages: 55 Posted: 08 Sep 2015 Last Revised: 15 Jul 2017
Matthias Aepli, Roland Füss, Tom Erik Henriksen and Florentina Paraschiv
University of St. Gallen - School of Finance, University of St. Gallen - School of Finance, NMBU School of Economics and Business and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 182 (202,836)
Citation 1

Abstract:

Loading...

Multivariate dynamic copulas; regime-switching copulas; dynamic conditional correlation (DCC) model; forecast performance; commodity portfolio

7.

Estimation and Application of Fully Parametric Multifactor Quantile Regression with Dynamic Coefficients

University of St. Gallen, School of Finance Research Paper No. 2016/07
Number of pages: 28 Posted: 04 Mar 2016
Florentina Paraschiv, Derek W. Bunn and Sjur Westgaard
Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School, London Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 134 (261,449)

Abstract:

Loading...

Quantile Regression, Dynamic Coefficients, Parametric Estimation, Electricity Prices

8.

Intraday Electricity Pricing of Night Contracts

Energies, 13(17):4501, 2020
Number of pages: 16 Posted: 16 Sep 2020 Last Revised: 07 Oct 2020
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 97 (328,237)

Abstract:

Loading...

Intraday electricity market, Econometric modeling, Night contracts, 15-minute contracts, Fundamentals, Renewable power forecasts

9.

Modelling the Evolution of Wind and Solar Power Infeed Forecasts

Journal of Commodity Markets
Number of pages: 28 Posted: 09 Jun 2020 Last Revised: 07 Apr 2021
Wei Li and Florentina Paraschiv
Norwegian University of Science and Technology and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 84 (359,080)
Citation 1

Abstract:

Loading...

Wind/Photovoltaic forecasting errors, intraday market, GMM, stochastic models

10.

Portfolio Stress Testing Applied to Commodity Futures

Number of pages: 37 Posted: 02 Oct 2019
Florentina Paraschiv, Stine Marie Reese and Margrethe Skjelstad
Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School, Norwegian University of Science and Technology (NTNU) - NTNU Business School and Norwegian University of Science and Technology (NTNU) - NTNU Business School
Downloads 62 (424,256)

Abstract:

Loading...

stress testing, commodity futures, risk measures, extreme value theory

11.

Prediction of Extreme Price Occurrences in the German Day-Ahead Electricity Market

Quantitative Finance, Vol. 16(12), 2016, University of St.Gallen, School of Finance Research Paper No. 2017/2
Number of pages: 28 Posted: 21 Dec 2016
Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School, Leibniz Universität Hannover - Faculty of Economics and Management, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 57 (442,037)
Citation 4

Abstract:

Loading...

EnergyMarkets, Fundamental Analysis, Spikes, EPEX

12.

Reporting on the Research Track on ‘Pricing and Optimization of Intraday/Day-Ahead Electricity and Futures Contracts’ Mathematics for Energy Systems Program Isaac Newton Institute

Number of pages: 9 Posted: 02 Oct 2019
Florentina Paraschiv
Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads 25 (593,967)

Abstract:

Loading...

intraday price modeling, electricity forecasting, random field modeling

13.

Extreme Value Theory for Heavy Tails in Electricity Prices

Journal of Energy Markets, Vol. 9, No. 2, 2016
Number of pages: 30 Posted: 14 Jun 2016
Florentina Paraschiv, Risto Hadzi-Mishev and Dogan Keles
Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School, University of St. Gallen and Karlsruhe Institute of Technology
Downloads 2 (765,609)
Citation 1
  • Add to Cart

Abstract:

Loading...

extreme value theory (EVT), electricity price modeling, forecasting of price quantiles, value-at-risk (VaR), price spikes

14.

On the Construction of Hourly Price Forward Curves for Electricity Prices

Posted: 30 Sep 2016 Last Revised: 01 Mar 2018
Ruediger Kiesel, Florentina Paraschiv and Audun Sætherø
University of Duisburg-Essen - Faculty of Economic Science, Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School and University of Duisburg-Essen - Faculty of Economic Science

Abstract:

Loading...

Hourly Price Forward Curves, modelling, electricity markets