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Modelling New Zealand electricity prices from a risk management perspective

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  • Moy, Caroline
  • Roberts, Leigh

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.

Suggested Citation

  • Moy, Caroline & Roberts, Leigh, 2011. "Modelling New Zealand electricity prices from a risk management perspective," Working Paper Series 18594, Victoria University of Wellington, School of Economics and Finance.
    • Handle: RePEc:vuw:vuwecf:18594
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    File URL: https://ir.wgtn.ac.nz/handle/123456789/18594
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    References listed on IDEAS

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    1. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
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