The use of extreme value statistics in risk management of the electricity market
In this thesis, we investigate the success of extreme value theory in managing electricity price risk. We specifically deals with the behaviour of the tails of financial time series.The theory provides well established statistical models for which extreme risk measures like the Value at Risk, Expect...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag
2013
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-22649 |