Browsing Arbeidsnotat / Working paper by Author "Dahlen, Kai Erik"

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On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method

Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; Næss, Arvid (Peer reviewed; Journal article, 2015)

In this paper we use an Average Conditional Exceedance Rate (ACER) method to model the tail of the price change distribution of daily spot prices in the Nordic electricity market, Nord Pool Spot. We use an AR-GARCH model ...