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The modeling and forecasting of extreme events in electricity spot markets · Study

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ArticleThe modeling and forecasting of extreme events in electricity spot markets

Rodrigo Herrera2014

Article2014

The modeling and forecasting of extreme events in electricity spot markets

Rodrigo Herrera · Nicolás González

31 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Energy Load and Power Forecasting

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References

1997Modelling Extremal Events 1998Evaluating Interval Forecasts 2004CAViaR 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies 2006Extreme Value Theory 2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks

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2017Point process models for extreme returns: Harnessing implied volatility

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Year2014

Typearticle

Published2014-04-12

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations31

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2013.12.011

openalex_workW2018708149

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