𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Forecast value considering energy pricing in California

✍ Scribed by Luoma, Jennifer; Mathiesen, Patrick; Kleissl, Jan


Book ID
121769098
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
542 KB
Volume
125
Category
Article
ISSN
0306-2619

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Modelling volatility clustering in elect
✍ R. G. Karandikar; N. R. Deshpande; S. A. Khaparde; S. V. Kulkarni πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 355 KB πŸ‘ 1 views

## 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

Price risk in the NYMEX energy complex:
✍ Tim Krehbiel; Lee C. Adkins πŸ“‚ Article πŸ“… 2005 πŸ› John Wiley and Sons 🌐 English βš– 315 KB

We estimate tail parameters and construct risk statistics for unconditional distributions of daily logarithmic price changes of the NYMEX energy complex and apply the conditional extreme value method proposed by A. J. McNeil and R. Frey (2000) for estimating VAR and related risk statistics from the