DSpace About DSpace Software
 

DSpace Biblioteca Universidad de Talca (v1.5.2) >
Dirección de Investigación >
Artículos en publicaciones ISI - Universidad de Talca >

Please use this identifier to cite or link to this item: http://dspace.utalca.cl/handle/1950/10184

Title: The modeling and forecasting of extreme events in electricity spot markets
Authors: Herrera, R.
Gonzalez, N.
Keywords: Forecasting risk measures
Extreme value theory
Autoregressive conditional duration
ACD-POT
Hawkes-POT
Issue Date: Jul-2014
Publisher: ELSEVIER SCIENCE BV
Citation: INTERNATIONAL JOURNAL OF FORECASTING 30 (3) : 477-490
Abstract: Primary concerns for traders since the deregulation of electricity markets include both the selection of optimal trading limits and risk quantification. These concerns have come about as a consequence of the unique stylized attributes of electricity spot prices, such as the clustering of extremes, heavy tails and common spikes. We propose self-exciting marked point process models, which can be defined in terms of either durations or intensities, and which can capture these stylized facts. This approach consists of modeling the times between extreme events and the sizes of exceedances which surpass a high threshold. Empirical results for four major electricity spot markets in Australia show evidence of dependence between the occurrence times of extreme returns. This finding is directly related to the future behavior of the stochastic intensity process for price spikes. In addition, the proposed approach also provides more accurate one-day-ahead value at risk (VaR) forecasting in electricity markets than standard stochastic volatility models. (C) 2014 International Institute of Forecasters. Published by Elsevier B.V. All rights reserved.
Description: Univ Talca, Fac Econ & Negocios, Talca, Maule Region, Chile; Herrera, R (Herrera, Rodrigo). Univ Talca, Fac Ingn, Programa Magister Gest Operac, Talca, Maule Region, Chile; Gonzalez, N (Gonzalez, Nicolas)
URI: http://dspace.utalca.cl/handle/1950/10184
ISSN: 1872-8200
Appears in Collections:Artículos en publicaciones ISI - Universidad de Talca

Files in This Item:

File Description SizeFormat
TEXTO_COMPLETO.htmlDESCARGAR3.08 kBHTMLView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2009  The DSpace Foundation - Feedback