Using extreme value theory to measure value-at-risk for daily electricity spot prices

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	283 - 300
Number of pages	18
Journal	International Journal of Forecasting
Volume	22
Issue number	2
DOIs	https://doi.org/10.1016/j.ijforecast.2005.10.002
Publication status	Published - 2006
Externally published	Yes

Access to Document

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title = "Using extreme value theory to measure value-at-risk for daily electricity spot prices",

author = "Kam Chan and Philip Gray",

year = "2006",

doi = "10.1016/j.ijforecast.2005.10.002",

language = "English",

volume = "22",

pages = "283 -- 300",

journal = "International Journal of Forecasting",

issn = "0169-2070",

publisher = "Elsevier",

number = "2",

}

TY - JOUR

T1 - Using extreme value theory to measure value-at-risk for daily electricity spot prices

AU - Chan, Kam

AU - Gray, Philip

PY - 2006

Y1 - 2006

U2 - 10.1016/j.ijforecast.2005.10.002

DO - 10.1016/j.ijforecast.2005.10.002

M3 - Article

SN - 0169-2070

VL - 22

SP - 283

EP - 300

JO - International Journal of Forecasting

JF - International Journal of Forecasting

IS - 2

ER -