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A new approach to characterizing and forecasting electricity price volatility

✍ Scribed by Kam Fong Chan; Philip Gray; Bart van Campen

Book ID
113648005
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
605 KB
Volume
24
Category
Article
ISSN
0169-2070

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## Abstract Modelling of non‐stationary time series using regression methodology is challenging. The wavelet transforms can be used to model non‐stationary time series having volatility clustering. The traditional risk measure is variance and now a days Value at Risk (VaR) is widely used in finance