Modelling New Zealand electricity prices from a risk management perspective
dc.contributor.author | Moy, Caroline | |
dc.contributor.author | Roberts, Leigh | |
dc.date.accessioned | 2011-06-13T01:16:34Z | |
dc.date.accessioned | 2022-07-05T01:59:05Z | |
dc.date.available | 2011-06-13T01:16:34Z | |
dc.date.available | 2022-07-05T01:59:05Z | |
dc.date.copyright | 2011 | |
dc.date.issued | 2011 | |
dc.description.abstract | A 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. | en_NZ |
dc.format | en_NZ | |
dc.identifier.uri | https://ir.wgtn.ac.nz/handle/123456789/18594 | |
dc.language.iso | en_NZ | |
dc.publisher | Te Herenga Waka—Victoria University of Wellington | en_NZ |
dc.relation.ispartofseries | SEF Working Paper Series | en_NZ |
dc.rights.rightsholder | http://www.victoria.ac.nz/sef/ | en_NZ |
dc.subject | electricity prices | en_NZ |
dc.subject | extreme value theory | en_NZ |
dc.subject | New Zealand | en_NZ |
dc.subject | statistical modelling | en_NZ |
dc.title | Modelling New Zealand electricity prices from a risk management perspective | en_NZ |
dc.type | Text | en_NZ |
vuwschema.contributor.unit | School of Economics and Finance | en_NZ |
vuwschema.subject.anzsrcfor | 149999 Economics not elsewhere classified | en_NZ |
vuwschema.subject.anzsrcforV2 | 389999 Other economics not elsewhere classified | en_NZ |
vuwschema.subject.marsden | 140209 Industry Economics and Industrial Organisation | en_NZ |
vuwschema.type.vuw | Working or Occasional Paper | en_NZ |