Modeling spot price dependence in Australian electricity markets with applications to risk management

DOI10.1016/j.cor.2015.07.019zbMath1349.62524OpenAlexW3123926702MaRDI QIDQ342246

Katja Ignatieva, Stefan Trück

Publication date: 17 November 2016

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2015.07.019

zbMATH Keywords

copulasrisk managementtail dependenceelectricity marketsdependence modelingregional markets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (4)

Portfolio optimization for inventory financing: copula-based approaches ⋮ Stochastic modelling of volatility and inter-relationships in the Australian electricity markets ⋮ Flexible specification testing in quantile regression models ⋮ Modelling the joint behaviour of electricity prices in interconnected markets

Uses Software

• itsmr
• QRM

Cites Work

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