Westgaard, Sjur; Paraschiv, Florentina; Ekern, Lina Lasessen; Naustdal, Ingrid; Roald, Malene (Chapter, 2018)
Electricity price distributional forecasts are crucial to energy risk management. In this paper we model and forecast Value at Risk (VaR) for the German EPEX spot price using variable selection with quantile regression, ...