Modelling New Zealand electricity prices from a risk management perspective

dc.contributor.author	Moy, Caroline
dc.contributor.author	Roberts, Leigh
dc.date.accessioned	2011-06-13T01:16:34Z
dc.date.available	2011-06-13T01:16:34Z
dc.date.copyright	2011
dc.date.issued	2011
dc.identifier.uri	http://researcharchive.vuw.ac.nz/handle/10063/1666
dc.description.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.	en_NZ
dc.language.iso	en_NZ
dc.relation.ispartofseries	SEF Working Paper Series	en_NZ
dc.subject	electricity prices	en_NZ
dc.subject	extreme value theory	en_NZ
dc.subject	New Zealand	en_NZ
dc.subject	statistical modelling	en_NZ
dc.title	Modelling New Zealand electricity prices from a risk management perspective	en_NZ
dc.type	Text	en_NZ
vuwschema.contributor.unit	School of Economics and Finance	en_NZ
vuwschema.subject.marsden	140209 Industry Economics and Industrial Organisation	en_NZ
vuwschema.type.vuw	Working or Occasional Paper	en_NZ
dc.rights.rightsholder	http://www.victoria.ac.nz/sef/	en_NZ