Browsing by Author "Moy, Caroline"
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Item Open Access Modelling New Zealand electricity prices from a risk management perspective(Te Herenga Waka—Victoria University of Wellington, 2011) Moy, Caroline; Roberts, LeighA direct approach is taken to modelling New Zealand electricity prices, in which extreme value theory is used to augment a basic time series model. Despite its simplicity, the resulting model is suitable for answering fundamental questions of interest to risk managers, who might not find it worthwhile to apply a more sophisticated and complex approach to statistical modelling.