Extreme Value Theory and Extremely Large Electricity Price Changes

By H. Byström. 2005

203 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fcf32e15cd6b4b35fab5a87bc5aeb195567c6096

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Citations in the corpus

Extreme Value Theory and Value at Risk : Application to Oil Market (2009, methodology): “Examples include Cabedo and Moya (2003), Costello et al. (2008), Hung et al. (2008), and Fan et al. (2008). Cabedo and Moya (2003) used the HSAF(2) approach to evaluate valueat-risk for daily spot Brent prices from 1992 to 1998 and tested the model out-of-sample for 1999. They concluded that the HSA”
Periodic Seasonal Reg-ARFIMA–GARCH Models for Daily Electricity Spot Prices (2007, methodology): “The inclusion of regression effects in the variance specification of a nonseasonal and nonperiodic AR–GARCH model in the context of modeling electricity prices was considered by Byström (2005).”
Extreme Value Theory for Finance: A Survey (2012, methodology): “On the other hand, when the data themselves already display huge variations and many extreme values of considerable magnitude, like the electricity prices on Nord Pool analyzed by Byström (2005), it is advisable not to work with log prices51.”
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (2006, background): “Finally, the classical reference for simulation of stable variates is Chambers et al. (1976), but a more recent account is given in Weron (1996).”
Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006, methodology): “Working with hourly NordPool returns, Byström (2005) reports that VaR 18 It is unclear why the distribution of electricity returns is so different in these two markets.”
Integration and shock transmissions across European electricity forward markets (2010, methodology): “Given the overlapping problem (see Byström (2001)) all estimations have been obtained by the Newey–West estimation procedure. in base and in peak periods, even in absence of adjacent physical connections.”