Blar i NTNU Open på forfatter "Uppheim, Kristoffer"
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Fundamental risk analysis and VaR forecasts of the Nord Pool system price
Lundby, Martin; Uppheim, Kristoffer (Master thesis, 2011)This paper compares the Value at Risk (VaR) forecasting performance of different quantile regression models to conventional GARCH specifications on the Nord Pool system price. The sample covers hourly data from 2005-2011. ...