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How to Incorporate Volatility and Risk in Electricity Price Forecasting

✍ Scribed by Rajat Deb; Richard Albert; Lie-Long Hsue; Nicholas Brown

Book ID
104373624
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
646 KB
Volume
13
Category
Article
ISSN
1040-6190

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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