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The modeling and forecasting of extreme events in electricity spot markets
16 references·1 citing·43 second hop
The modeling and forecasting of extreme events in electricity spot markets (2014)The modeling and forecasting of extreme e…High-frequency financial data modeling using Hawkes processes (2012)High-frequency financial data…Econometrics of Financial High-Frequency Data (2011)Econometrics of Financial Hig…Extreme Value Theory and Value at Risk: Application to oil market (2009)Extreme Value Theory and Valu…Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)Using extreme value theory to…Extreme Value Theory (2006)Extreme Value TheoryValue-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Value-at-Risk Prediction: A C…Estimating value-at-risk: a point process approach (2005)Estimating value-at-risk: a p…Modeling electricity prices: jump diffusion and regime switching (2004)Modeling electricity prices: …CAViaR (2004)CAViaRExtreme value theory and extremely large electricity price changes (2003)Extreme value theory and extr…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks (2000)The Logarithmic ACD Model: An…Non‐monotonic hazard functions and the autoregressive conditional duration model (2000)Non‐monotonic hazard function…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsAutoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Modelling Extremal Events (1997)Modelling Extremal EventsPoint process models for extreme returns: Harnessing implied volatility (2017)Point process models for extr…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CoVaR (2016)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)An econometric analysis of emission allowance prices (2008)The impact of terrorism on financial markets: An empirical study (2010)Financial Network Systemic Risk Contributions (2014)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Understanding the Fine Structure of Electricity Prices* (2006)Renewable energy investments under different support schemes: A real options approach (2012)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A comparison of financial duration models via density forecasts (2003)AUTOREGRESSIVE CONDITIONAL DURATION MODELS IN FINANCE: A SURVEY OF THE THEORETICAL AND EMPIRICAL LITERATURE (2008)Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models (2012)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)Analysis of Financial Time Series (2006)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Théorie de la spéculation (1900)An equilibrium characterization of the term structure (1977)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Modelling spikes and pricing swing options in electricity markets (2009)A Survey of Commodity Markets and Structural Models for Electricity Prices (2013)Adoption of residential solar power under uncertainty: Implications for renewable energy incentives (2015)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Copulas: A Personal View (2009)Extreme-Value Copulas (2010)Extreme events: dynamics, statistics and prediction (2011)Empirical properties of asset returns: stylized facts and statistical issues (2001)Extreme Correlation of International Equity Markets (2001)Conditional value-at-risk for general loss distributions (2002)The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2003)The application of continuous-time random walks in finance and economics (2005)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2004CAViaR2,210 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 2005Value-at-Risk Prediction: A Comparison of Alternative Strategies635 cited
  • 2006Extreme Value Theory442 cited
  • 2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks266 cited
  • 2004Modeling electricity prices: jump diffusion and regime switching254 cited
  • 2000Non‐monotonic hazard functions and the autoregressive conditional duration model230 cited
  • 2009Extreme Value Theory and Value at Risk: Application to oil market213 cited
  • 2005Estimating value-at-risk: a point process approach187 cited
  • 2011Econometrics of Financial High-Frequency Data183 cited
  • 2006Using extreme value theory to measure value-at-risk for daily electricity spot prices166 cited
  • 2003Extreme value theory and extremely large electricity price changes156 cited

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2012
High-frequency financial data modeling using Hawkes processes
153 cited

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  • 2017Point process models for extreme returns: Harnessing implied volatility31 cited