Blar i NTNU Open på forfatter "Dahlen, Kai Erik"
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Comparison of ACER and POT Methods for estimation of Extreme Values
Dahlen, Kai Erik (Master thesis, 2010)Comparison of the performance of the ACER and POT methods for prediction of extreme values from heavy tailed distributions. To be able to apply the ACER method to heavy tailed data the ACER method was first modified to ... -
On the Estimation of Extreme Values for Risk Assessment and Management: The ACER Method
Dahlen, Kai Erik; Solibakke, Per Bjarte; Westgaard, Sjur; Næss, Arvid (Journal article; Peer reviewed, 2015)In this paper we use an Average Conditional Exceedance Rate (ACER) method to model the tail of the price change distribution of daily spot prices in the Nordic electricity market, Nord Pool Spot. We use an AR-GARCH model ...