Electricity prices forecast analysis using the extreme value theory
Year of publication: |
2016
|
---|---|
Authors: | Simões, Mário Domingues de Paula ; Klotzle, Marcelo Cabus ; Pinto, Antônio Carlos Figueiredo ; Gomes, Leonardo Lima |
Published in: |
International journal of financial markets and derivatives. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7130, ZDB-ID 2550152-5. - Vol. 5.2016, 1, p. 1-22
|
Subject: | electricity prices | risk | VaR | CVaR | EVT | GPD | out-of-sample forecasting | Strompreis | Electricity price | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Prognose | Forecast | VAR-Modell | VAR model | Ausreißer | Outliers |
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