Moy, CarolineRoberts, Leigh2011-06-132022-07-052011-06-132022-07-0520112011https://ir.wgtn.ac.nz/handle/123456789/18594A 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.pdfen-NZelectricity pricesextreme value theoryNew Zealandstatistical modellingTexthttp://www.victoria.ac.nz/sef/