Is the best Generalized Autoregressive Conditional Heteroskedasticity(p,q) value-at-risk estimate also the best in reality? : an evidence from Australian interconnected power markets
Rangga Handika, Sigit Triandaru
| Year of publication: |
2016
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|---|---|
| Authors: | Handika, Rangga ; Triandaru, Sigit |
| Published in: |
International Journal of Energy Economics and Policy : IJEEP. - Mersin : EconJournals, ISSN 2146-4553, ZDB-ID 2632577-9. - Vol. 6.2016, 4, p. 814-821
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| Subject: | Power Markets | Generalized Autoregressive Conditional Heteroskedasticity | Value-at-risk | Risikomaß | Risk measure | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Australien | Australia | Marktmacht | Market power | Elektrizitätswirtschaft | Electric power industry |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
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