Bakgrunn og aktiviteter
- Finance: capital markets, financial institutions, financial regulation, risk measures
- Energy and Commodity Finance: pricing and risk management in electricity, gas and oil markets
Methods and skills:
- Econometrics (applied and estimation): regime-switching models, time-varying quantile regression, time series
- Multistage stochastic programming: production planning with applications to energy
- Financial mathematics: random field modelling
International Research Collaborations:
- University of St. Gallen (Lehrauftrag)
- University of Duisburg-Essen (Research Fellow)
- Queen Mary University of London (Research Fellow)
- University of Oslo
November 2016 – ECOMFIN Best Paper Award, Energy and Commodity Finance Conference, Paris.
October 2013– DK Gupta Memorial Best Energy Paper Award 2013, Conference Energy Finance, Essen.
Papers currently under review in academic journals:
- Füss, R., Mahringer, S., Paraschiv, F., Prokopczuk, M. (2017). Electricity spot and derivatives pricing under market coupling. under review.
- Kiesel, R., Paraschiv, F., Saethero, A. (2017). On the construction of hourly price forward curves for electricity prices. under review in 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.
- Paraschiv, F., Bunn, D. & Westgaard, S. (2017). A fully parametric approach for quantile regressions with time-varying coefficients. under review.
Vitenskapelig, faglig og kunstnerisk arbeid
Viser et utvalg av aktivitet. Se alle publikasjoner i databasen
- (2018) Forecasting Price Distributions in the German Electricity Market. Commodities Finance and Market Performance, Volume 1: International Financial Markets.
- (2017) Modeling the multivariate dynamic dependence structure of commodity futures portfolios. Journal of Commodity Markets. vol. 6.
- (2017) A space-time random field model for electricity forward prices (Best Energy Paper Award, ECOMFIN 2016, Paris). Journal of Banking & Finance.
- (2017) Econometric analysis of 15-minute intraday electricity prices. Energy Economics. vol. 64.
- (2017) Econometric analysis of the determinants of electricity wholesale prices in Switzerland and Germany (Project Financed by Swiss Federal Office of Energy). 2017.
- (2017) Replication of non-maturing products in a low interest rate environment. The Handbook of ALM in Banking.
- (2016) Prediction of extreme price occurrences in the German day-ahead electricity market. Quantitative finance (Print). vol. 16 (12).
- (2016) Using quantile regression to analyze the effect of renewables on EEX price formation. Renewable Energy and Environmental Sustainability. vol. 32 (1).
- (2016) Extreme Value Theory for heavy-tails in electricity prices. Journal of Energy Markets. vol. 9 (2).
- (2015) Extended forecast methods for day-ahead electricity spot prices applying artificial neural networks (ANN). Applied Energy. vol. 162 (218).
- (2015) A spot-forward model for electricity prices with regime shifts. Energy Economics. vol. 47.
- (2015) Stress testing techniques for portfolios of commodity futures, using extreme-value theory and copulas. Economic Modelling. vol. 50.
- (2014) Joint dynamics of European and American oil prices. Palgrave Macmillan. 2014. ISBN 978-1-137-37734-0.
- (2014) Medium-term planning for thermal electricity production. OR Spektrum. vol. 36 (3).
- (2014) The impact of renewable energies on EEX day-ahead electricity prices. Energy Policy. vol. 73.
- (2014) Stress testing techniques for portfolios of commodity futures, using extreme-value theory and copulas. 2014. ISBN 978-3-319-20429-1. Computational Management Science (682).
- (2013) Investors` behavior under changing market volatility. Journal of Investing. vol. 1 (23).
- (2013) Adjustment policy of deposit rates in the case of Swiss non-maturing savings accounts. Journal of Applied Finance and Banking. vol. 3 (2).
- (2013) Price dynamics in electricity markets. Handbook of Risk Management in Energy Production and Trading.
- (2013) Optimizing risk and return of non-maturing products by dynamic replication. The Handbook of Asset and Liability Management in Banking.
- (2012) Modeling non-maturing savings volumes. Economics & Finance Review. vol. 05/2012 (2).
- (2011) Modeling client rates and volumes of the non-maturing savings accounts. 2011. ISBN 978-3-258-07706-2.