Florentina Paraschiv

Zeppelin University, Chair of Finance

Professor, Chair of Finance ZU

Am Seemooser Horn 20

Friedrichshafen, 88045

Germany

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

Professor II

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

18

DOWNLOADS

3,500

SSRN CITATIONS
Rank 33,645

SSRN RANKINGS

Top 33,645

in Total Papers Citations

19

CROSSREF CITATIONS

5

Scholarly Papers (18)

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 Zeppelin University, Chair of Finance
Downloads 751 (47,168)
Citation 9

Abstract:

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

2.

An Econometric Model for Intraday Electricity Trading

Philosophical Transactions of the Royal Society A, 379(2202):20190624, 2021
Number of pages: 27 Posted: 31 Dec 2019 Last Revised: 17 Sep 2021
Marcel Kremer, Ruediger Kiesel and Florentina Paraschiv
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Zeppelin University, Chair of Finance
Downloads 664 (55,479)
Citation 6

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

3.

Determinants of Price Discrimination and Switching Mortgage Provider in Times of Regulation and Digitalization

Swiss Finance Institute Research Paper No. 21-67
Number of pages: 41 Posted: 04 Oct 2021 Last Revised: 11 Oct 2021
Steven Ongena, Florentina Paraschiv and Endre J Reite
University of Zurich - Department of Banking and Finance, Zeppelin University, Chair of Finance and Norwegian University of Science and Technology (NTNU) - Department of International Business
Downloads 399 (103,293)

Abstract:

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Mortgage lending, Financial regulation, Consumer protection, digitalization, Price discrimination

4.

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
NTNU Business School, Norwegian University of Science and Technology, Zeppelin University, Chair of Finance and University of St. Gallen - School of Finance
Downloads 277 (153,617)

Abstract:

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

5.

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 Zeppelin University, Chair of Finance
Downloads 206 (203,719)
Citation 2

Abstract:

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

6.

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
University of St. Gallen - School of Finance, University of St.Gallen - Swiss Institute of Banking and Finance, Zeppelin University, Chair of Finance and University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management
Downloads 203 (206,510)

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

7.

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 Zeppelin University, Chair of Finance
Downloads 183 (226,367)
Citation 1

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

8.

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
Zeppelin University, Chair of Finance, London Business School and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 145 (274,747)

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Quantile Regression, Dynamic Coefficients, Parametric Estimation, Electricity Prices

9.

Bankruptcy Prediction of Privately Held SMEs Using Feature Selection Methods

Number of pages: 64 Posted: 27 Aug 2021 Last Revised: 20 Jun 2022
Florentina Paraschiv, Markus Schmid and Ranik Raaen Wahlstrøm
Zeppelin University, Chair of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and NTNU Business School, Norwegian University of Science and Technology
Downloads 144 (276,274)

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Bankruptcy prediction, Feature selection methods, LASSO, Deep learning, Bank profitability

10.

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 Zeppelin University, Chair of Finance
Downloads 111 (334,673)

Abstract:

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

11.

Back to the Roots of Internal Credit Risk Models: Why Do Banks’ Risk-Weighted Asset Levels Converge over Time?

Swiss Finance Institute Research Paper No. 22-33
Number of pages: 91 Posted: 20 Apr 2022 Last Revised: 22 Apr 2022
Victoria Böhnke, Steven Ongena, Florentina Paraschiv and Endre J Reite
Deutsche Bundesbank, University of Zurich - Department of Banking and Finance, Zeppelin University, Chair of Finance and Norwegian University of Science and Technology (NTNU) - Department of International Business
Downloads 105 (347,441)

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Capital regulation, credit risk, internal ratings-based approach, regulatory arbitrage, risk-weighted assets

12.

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 Zeppelin University, Chair of Finance
Downloads 99 (361,235)
Citation 1

Abstract:

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

13.

Portfolio Stress Testing Applied to Commodity Futures

Number of pages: 37 Posted: 02 Oct 2019
Florentina Paraschiv, Stine Marie Reese and Margrethe Skjelstad
Zeppelin University, Chair of Finance, Norwegian University of Science and Technology (NTNU) - NTNU Business School and Norwegian University of Science and Technology (NTNU) - NTNU Business School
Downloads 71 (439,431)

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

14.

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), Zeppelin University, Chair of Finance, University of Reading - ICMA CentreLeibniz 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 63 (467,296)
Citation 4

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EnergyMarkets, Fundamental Analysis, Spikes, EPEX

15.

A Data-driven Explainable Case-based Reasoning Approach for Financial Risk Detection

Number of pages: 26 Posted: 31 Aug 2021
Wei Li, Florentina Paraschiv and Georgios Sermpinis
Norwegian University of Science and Technology, Zeppelin University, Chair of Finance and University of Glasgow
Downloads 48 (528,302)

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Financial risk management, Decision theory, Case-based reasoning, Credit risk, Particle swarm optimization

16.
Downloads 29 (629,464)

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intraday price modeling, electricity forecasting, random field modeling

17.

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
Zeppelin University, Chair of Finance, University of St. Gallen and Karlsruhe Institute of Technology
Downloads 2 (860,861)
Citation 1
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extreme value theory (EVT), electricity price modeling, forecasting of price quantiles, value-at-risk (VaR), price spikes

18.

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, Zeppelin University, Chair of Finance and University of Duisburg-Essen - Faculty of Economic Science

Abstract:

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Hourly Price Forward Curves, modelling, electricity markets