On the estimation of extreme values for risk assessment and management : the ACER method
Kai Erik Dahlen; Per Bjarte Solibakke; Sjur Westgaard; Arvid Næss
| Year of publication: |
2015
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|---|---|
| Authors: | Dahlen, Kai Erik ; Solibakke, Per Bjarte ; Westgaard, Sjur ; Næss, Arvid |
| Published in: |
International journal of business. - Taichung, Taiwan : College of Management, Chaoyang University of Technology, ISSN 1083-4346, ZDB-ID 1315114-9. - Vol. 20.2015, 1, p. 33-51
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| Subject: | commodity markets | electric energy | electricity | risk analysis | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikomanagement | Risk management | Elektrizitätswirtschaft | Electric power industry | Risikomaß | Risk measure | Risiko | Risk | Strompreis | Electricity price | ARCH-Modell | ARCH model | Elektrizität | Electricity |