Is the best Generalized Autoregressive Conditional Heteroskedasticity(p,q) value-at-risk estimate also the best in reality? : an evidence from Australian interconnected power markets
Year of publication: |
2016
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Authors: | Handika, Rangga ; Triandaru, Sigit |
Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 6.2016, 4, p. 814-821
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Subject: | Power Markets | Generalized Autoregressive Conditional Heteroskedasticity | Value-at-risk | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Australien | Australia | Elektrizitätswirtschaft | Electric power industry | Marktmacht | Market power |
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