Extreme value analysis of electricity demand in the UK

Stephen Chan and Saralees Nadarajah

Applied Economics Letters, 2015, vol. 22, issue 15, 1246-1251

Abstract: For the first time, an extreme value analysis of electricity demand in the UK is provided. The analysis is based on the generalized Pareto distribution. Its parameters are allowed to vary linearly and sinusoidally with respect to time to capture patterns in the electricity demand data. The models are shown to give reasonable fits. Some useful predictions are given for the value at risk of the returns of electricity demand.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2015.1021453 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:22:y:2015:i:15:p:1246-1251

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2015.1021453

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().