Blar i NTNU Handelshøyskolen på forfatter "Århus, Gisle Hoel"
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Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
Westgaard, Sjur; Århus, Gisle Hoel; Frydenberg, Marina; Frydenberg, Stein (Journal article; Peer reviewed, 2019)This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market. We make in-sample, one-day-ahead VaR forecasts using one ...