Browsing Publikasjoner fra Cristin by Journals "International journal of business"
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On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method
(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 ...