• Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models 

      Bunn, Derek; Andresen, Arne; Chen, Dipeng; Westgaard, Sjur (Journal article, 2015)
      Forecasting quantile and value-at-risk levels for commodity prices is methodologically challenging because of the distinctive stochastic properties of the price density functions, volatility clustering and the importance ...
    • Modeling the UK electricity price distributions using quantile regression 

      Hagfors, Lars Ivar; Bunn, Derek; Kristoffersen, Eline; Staver, Tiril Toftdahl; Westgaard, Sjur (Journal article; Peer reviewed, 2016)
      In this paper we develop fundamental quantile regression models for the UK electricity price in each trading period. Intraday properties of price risk, as represented by the predictive distribution rather than expected ...