A novel framework for probabilistic forecasting of electricity forward curves

Electricity forward contracts are key instruments for managing price volatility in liberalized power markets, where non-storability and real-time balancing create complex price dynamics. These contracts differ from traditional derivatives as they are defined over delivery periods, leading to overlapping maturities and interdependent forward curves. This structure, combined with low liquidity and sparse data in long-term horizons, poses challenges for accurate forecasting. This work proposes a no