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Modelling New Zealand electricity prices from a risk management perspective

dc.contributor.authorMoy, Caroline
dc.contributor.authorRoberts, Leigh
dc.date.accessioned2011-06-13T01:16:34Z
dc.date.accessioned2022-07-05T01:59:05Z
dc.date.available2011-06-13T01:16:34Z
dc.date.available2022-07-05T01:59:05Z
dc.date.copyright2011
dc.date.issued2011
dc.description.abstractA 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.formatpdfen_NZ
dc.identifier.urihttps://ir.wgtn.ac.nz/handle/123456789/18594
dc.language.isoen_NZ
dc.publisherTe Herenga Waka—Victoria University of Wellingtonen_NZ
dc.relation.ispartofseriesSEF Working Paper Seriesen_NZ
dc.rights.rightsholderhttp://www.victoria.ac.nz/sef/en_NZ
dc.subjectelectricity pricesen_NZ
dc.subjectextreme value theoryen_NZ
dc.subjectNew Zealanden_NZ
dc.subjectstatistical modellingen_NZ
dc.titleModelling New Zealand electricity prices from a risk management perspectiveen_NZ
dc.typeTexten_NZ
vuwschema.contributor.unitSchool of Economics and Financeen_NZ
vuwschema.subject.anzsrcfor149999 Economics not elsewhere classifieden_NZ
vuwschema.subject.anzsrcforV2389999 Other economics not elsewhere classifieden_NZ
vuwschema.subject.marsden140209 Industry Economics and Industrial Organisationen_NZ
vuwschema.type.vuwWorking or Occasional Paperen_NZ

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