Open AccessAnalysis and Forecasting of Electricity Price Risks with Quantile Factor Models
Author(s) -
Derek W. Bunn,
Arne F. Andresen,
Dipeng Chen,
Sjur Westgaard
Publication year - 2016
Publication title -
the energy journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.244
H-Index - 77
eISSN - 1944-9089
pISSN - 0195-6574
DOI - 10.5547/01956574.37.1.dbun
Subject(s) - econometrics , quantile , quantile regression , volatility (finance) , autoregressive conditional heteroskedasticity , economics , volatility clustering , value at risk , risk management , finance