Extreme Value Theory for Heavy-Tails in Electricity Prices

Item Type Forthcoming
Abstract Typical characteristics of electricity day-ahead prices at EPEX are the very high volatility and a large number of extreme price changes. In this paper, we look at hourly spot prices at the German electricity market and apply extreme value theory (EVT) to investigate the tails of the price change distribution. Our results show the importance of delimiting price spikes and modeling them separately from the core of the price distribution. In particular, we get a realistic fit of the generalized Pareto distribution (GPD) to AR-GARCH filtered price change series, and based on this model accurate forecasts of extreme price quantiles are obtained. Generally, our results suggest EVT to be of interest for both risk managers and portfolio managers in the highly volatile electricity market.
Authors Paraschiv, Florentina; Hadzi-Mishev, Risto & Keles, Dogan
Journal or Publication Title The journal of energy markets
Language English
Subjects business studies
HSG Classification contribution to scientific community
Refereed Yes
Date 29 June 2015
Publisher Incisive Media
Place of Publication London
Number tba
ISSN 1756-3607
ISSN-Digital 1756-3615
Depositing User Prof. Dr. Florentina Paraschiv
Date Deposited 29 Jun 2015 13:46
Last Modified 20 Jul 2022 17:24
URI: https://www.alexandria.unisg.ch/publications/241983

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Paraschiv, Florentina; Hadzi-Mishev, Risto & Keles, Dogan (2015) Extreme Value Theory for Heavy-Tails in Electricity Prices. The journal of energy markets, (tba). ISSN 1756-3607

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https://www.alexandria.unisg.ch/id/eprint/241983
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