A direct approach is taken to modelling New Zealand electricity prices, in which extreme value theory is used to augment a basic time series model. Despite its simplicity, the resulting model is suitable for answering fundamental questions of interest to risk managers, who might not find it...

We propose two versions of asymptotically distribution free empirical processes. When a composite null hypothesis contains a family of distributions indexed by a one dimensional parameter space, and when that single parameter is estimated by maximum likelihood, the resulting distribution free...

We obtain simple and generally applicable conditions for the existence of mixed moments <italic>E</italic>([<italic>X</italic>′ <italic>AX</italic>]″/[<italic>X</italic>′<italic>BX</italic>]<italic>U</italic>) of the ratio of quadratic forms <italic>T</italic> = <italic>X</italic>′ <italic>AX</italic>/<italic>X</italic>′<italic>BX</italic> where <italic>A</italic> and <italic>B</italic> are <italic>n</italic> × <italic>n</italic> symmetric matrices and <italic>X</italic> is a random <italic>n</italic>-vector. Our principal theorem is easily stated when <italic>X</italic> has an...