Essays about: "Peaks Over Threshold"

Showing result 21 - 21 of 21 essays containing the words Peaks Over Threshold.

  1. 21. Push it to the limit - Testing the usefulness of Extreme Value Theory in electricity markets

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henrik Fulgentiusson; [2012]
    Keywords : Electricity; Extreme Value Theory; Peaks Over Threshold; Block Maxima; Value at Risk.; Business and Economics;

    Abstract : We set out to investigate whether the methodologies used in extreme value analysis are applicable in estimating Value at Risk (VaR) for the spot price returns of the European Energy Exchange (EEX). An initial inspection of hourly data reveals a volatile behaviour where returns of extreme proportions occur frequently. READ MORE