Using Extreme Value Theory to Measure Value-at-Risk for Daily Electricity Spot Prices
Year of publication: |
2009
|
---|---|
Authors: | Chan, Kam Fong |
Other Persons: | Gray, Philip (contributor) |
Publisher: |
[2009]: [S.l.] : SSRN |
Subject: | Risikomaß | Risk measure | Strompreis | Electricity price | ARCH-Modell | ARCH model | Ausreißer | Outliers |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: International Journal of Forecasting, Vol. 22, No. 2, 2006 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 13, 2009 erstellt Volltext nicht verfügbar |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C16 - Specific Distributions ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Szubzda, Filip, (2019)
-
Brauchler, Ryan, (2012)
-
Khemawanit, Kritsana, (2016)
- More ...
-
Using extreme value theory to measure value-at-risk for daily electricity spot prices
Chan, Kam Fong, (2006)
-
Using extreme value theory to measure value-at-risk for daily electricity spot prices
Kam Fong Chan, (2006)
-
A new approach to characterizing and forecasting electricity price volatility
Kam Fong Chan, (2008)
- More ...