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Extreme value theory and extremely large electricity price changes · Study

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ArticleExtreme value theory and extremely large electricity price changes

Hans N. E. Byström2003

Article2003

Extreme value theory and extremely large electricity price changes

Hans N. E. Byström

156 citations·0/0 files stored·International Review of Economics & Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Probability and Risk Models

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1974Residual Life Time at Great Age 2002The emperor has no clothes: Limits to risk modelling

Cited by

2009Integration and shock transmissions across European electricity forward markets 2013EXTREME VALUE THEORY IN FINANCE: A SURVEY 2009Long‐run relations in European electricity prices 2008Heavy-tails and regime-switching in electricity prices 2015Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach 2008A new approach to characterizing and forecasting electricity price volatility 2014Energy portfolio risk management using time-varying extreme value copula methods 2013Forecasting electricity price volatility with the Markov-switching GARCH model: Evidence from the Nordic electric power market

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Details

Year2003

Typearticle

Published2003-05-12

VenueInternational Review of Economics & Finance

ISSN-L1059-0560

Languageen

Citations156

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s1059-0560(03)00032-7

openalex_workW2011665219

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