Performance of value-at-risk averaging in the Nordic power futures market
Jørgen Andersen Sveinsson, Stein Frydenberg, Sjur Westgaard and Maurits M. Aaløkken
| Year of publication: |
2020
|
|---|---|
| Authors: | Sveinsson, Jørgen Andersen ; Frydenberg, Stein ; Westgaard, Sjur ; Aaløkken, Maurits M. |
| Published in: |
The journal of energy markets. - London : Infopro Digital, ISSN 1756-3607, ZDB-ID 2428804-4. - Vol. 13.2020, 3, p. 25-55
|
| Subject: | value-at-risk (VaR) | model averaging | RiskMetrics | GARCH | Nordic electricity market | filtered historical simulation (FHS) | Cornish-Fisher | quantile regression | Nordeuropa | Northern Europe | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Simulation | Energiemarkt | Energy market | Elektrizitätswirtschaft | Electric power industry |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JEM.2020.207 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012662208