Introduced in the 1980s, value at risk has been a popular measure of financial risk.
However, value at risk suffers from a number of drawbacks as measure of financial risk. An …

Motivated by the increasing integration among electricity markets, in this paper we propose
two different methods to incorporate market integration in electricity price forecasting and to …

In the electricity market, sudden price jumps occur more frequently than in other markets due
to the peculiarity of electricity. Furthermore, the structural spot characteristics of the electricity …

This study extends existing literature on the assessment of electricity market integration in
Europe, by developing and testing hypotheses on the convergence of electricity wholesale …

Volatility spillovers are a characteristic of interconnected electricity markets. We use high-
frequency prices to analyze the transmission of volatility across five Australian regional …

We investigate the extent and evolution of the links between energy markets using a broad
data set consisting of a total of 17 series of prices for commodities such as electricity, natural …

In this paper, we examine various characteristics of both base and peak electricity spot
prices and their returns, and investigate dependence structures, extreme co-movements, risk …

We consider the problem of forecasting the occurrence of extreme prices in the Australian
electricity markets from high frequency spot prices. In particular, we are interested in the …

Statistics for Finance develops students' professional skills in statistics with applications in
finance. Developed from the authors' courses at the Technical University of Denmark and …

Electricity generation from renewable energy resources (RES) has become increasingly
significant to reach EU and emissions reduction targets. At the same time, one of the main …