مرکز منطقه ای اطلاع رساني علوم و فناوري - Using extreme value theory to measure value-at-risk for daily electricity spot prices

Title of article :

Using extreme value theory to measure value-at-risk for daily electricity spot prices

Author/Authors :

Kam Fong Chan، نويسنده , , Philip Gray، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

283

To page :

300

Keywords :

Extreme value theory , Value-at-Risk , Electricity , EGARCH , Conditional interval coverage

Journal title :

International Journal of Forecasting

Serial Year :

2006

Journal title :

International Journal of Forecasting

Record number :

179215

Link To Document :