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On the estimation of extreme values for risk assessment and management : the ACER method

Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; … - In: International journal of business 20 (2015) 1, pp. 33-51

Persistent link: https://www.econbiz.de/10010520743

Tail risk of electricity futures

Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa; … - In: Energy economics 91 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012518716

Retailer value-at-risk in interconnected power markets : an Australian empirical analysis

Handika, Rangga; Triandaru, Sigit - In: International journal of economics and financial issues … 6 (2016) 6, pp. 6-9

Persistent link: https://www.econbiz.de/10011782375

Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators

Naimoli, Antonio; Gerlach, Richard; Storti, Giuseppe - In: Economic modelling 107 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013367470

Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model

Wang, Tianyi; Liang, Fang; Huang, Zhuo; Yan, Hong - In: Economic modelling 109 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013348237

Time-adaptive probabilistic forecasts of electricity spot prices with application to risk management.

López Cabrera, Brenda; Schulz, Franziska - 2016

The increasing exposure to renewable energy has amplified the need for risk management in electricity markets. Electricity price risk poses a major challenge to market participants. We propose an approach to model and fore- cast electricity prices taking into account information on renewable...

Persistent link: https://www.econbiz.de/10011538153

Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics

Gerlach, Richard; Naimoli, Antonio; Storti, Giuseppe - In: Quantitative finance 20 (2020) 11, pp. 1849-1878

Persistent link: https://www.econbiz.de/10012295647

Does the tail risk index matter in forecasting downside risk?

Hung, Jui-Cheng; Liu, Hung-Chun; Yang, J. Jimmy - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3451-3466

Persistent link: https://www.econbiz.de/10014327761

Forecasting volatility of tanker freight rates based on asymmetric regime-switching GARCH models

Lauenstein, Philipp; Walther, Thomas - In: International journal of financial engineering and risk … 2 (2016) 3, pp. 172-199

Persistent link: https://www.econbiz.de/10011778834

Forecasting risk measures using intraday and overnight information

Santos, Douglas Gomes dos; Candido, Osvaldo; Tófoli, … - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013449240

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