Modelling New Zealand electricity prices from a risk management perspective

Caroline Moy and Leigh Roberts

No 18594, Working Paper Series from Victoria University of Wellington, School of Economics and Finance

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.

Keywords: electricity prices; extreme value theory; New Zealand; statistical modelling (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:vuw:vuwecf:18594

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