Change search
ReferencesLink to record
Permanent link

Direct link
Extreme Value Analysis & Application of the ACER Method on Electricity Prices
Norwegian University of Science and Technology, Faculty of Information Technology, Mathematics and Electrical Engineering, Department of Mathematical Sciences.
2012 (English)MasteroppgaveStudent thesis
Abstract [en]

In this thesis we have explored the very high prices that sometimes occurs in the Nord Pool electricity market Elspot. By applying AR-GARCH time series models, extreme value theory, and ACER estimation techniques, we have sought to estimate the probabilities of threshold exceedances related to electricity prices. Of particular concern was the heavy-tailed Fréchet distribution, which was the asymptotic distribution assumed in the ACER estimation. We have found that with extreme value theory we are better equipped to deal with the very high quantiles in the time series we have analyzed. We have also described a method that can give an assessment of the probability of exceeding a selected level in the electricity price.

Place, publisher, year, edition, pages
Institutt for matematiske fag , 2012. , 84 p.
Keyword [no]
ntnudaim:5971, MST statistikk
URN: urn:nbn:no:ntnu:diva-19378Local ID: ntnudaim:5971OAI: diva2:566897
Available from: 2012-11-10 Created: 2012-11-10

Open Access in DiVA

fulltext(2475 kB)513 downloads
File information
File name FULLTEXT01.pdfFile size 2475 kBChecksum SHA-512
Type fulltextMimetype application/pdf
cover(184 kB)17 downloads
File information
File name COVER01.pdfFile size 184 kBChecksum SHA-512
Type coverMimetype application/pdf

By organisation
Department of Mathematical Sciences

Search outside of DiVA

GoogleGoogle Scholar
Total: 513 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 82 hits
ReferencesLink to record
Permanent link

Direct link