FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3123005706> ?p ?o ?g. }

• W3123005706 endingPage "50" @default.
• W3123005706 startingPage "21" @default.
• W3123005706 abstract "Typical characteristics of electricity day-ahead prices at the European Power Exchange (EPEX) are 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 autoregressive-generalized autoregressive conditional heteroscedasticity (AR-GARCH) filtered price change series; based on this model, accurate forecasts of extreme price quantiles are obtained. Generally, our results suggest that EVT is of interest for both risk managers and portfolio managers in the highly volatile electricity market." @default.
• W3123005706 created "2021-02-01" @default.
• W3123005706 creator A5012990961 @default.
• W3123005706 creator A5049333999 @default.
• W3123005706 creator A5089437817 @default.
• W3123005706 date "2016-01-01" @default.
• W3123005706 modified "2023-10-17" @default.
• W3123005706 title "Extreme value theory for heavy tails in electricity prices" @default.
• W3123005706 cites W101598925 @default.
• W3123005706 cites W1498464051 @default.
• W3123005706 cites W1531996397 @default.
• W3123005706 cites W1542184596 @default.
• W3123005706 cites W1980133098 @default.
• W3123005706 cites W2019199024 @default.
• W3123005706 cites W2032809563 @default.
• W3123005706 cites W2035177451 @default.
• W3123005706 cites W2078136871 @default.
• W3123005706 cites W2089217930 @default.
• W3123005706 cites W2092205176 @default.
• W3123005706 cites W2133033133 @default.
• W3123005706 cites W2135177937 @default.
• W3123005706 cites W2405520167 @default.
• W3123005706 cites W3023939952 @default.
• W3123005706 cites W3125623747 @default.
• W3123005706 doi "https://doi.org/10.21314/jem.2016.141" @default.
• W3123005706 hasPublicationYear "2016" @default.
• W3123005706 type Work @default.
• W3123005706 sameAs 3123005706 @default.
• W3123005706 citedByCount "11" @default.
• W3123005706 countsByYear W31230057062016 @default.
• W3123005706 countsByYear W31230057062017 @default.
• W3123005706 countsByYear W31230057062019 @default.
• W3123005706 countsByYear W31230057062020 @default.
• W3123005706 countsByYear W31230057062021 @default.
• W3123005706 countsByYear W31230057062022 @default.
• W3123005706 countsByYear W31230057062023 @default.
• W3123005706 crossrefType "journal-article" @default.
• W3123005706 hasAuthorship W3123005706A5012990961 @default.
• W3123005706 hasAuthorship W3123005706A5049333999 @default.
• W3123005706 hasAuthorship W3123005706A5089437817 @default.
• W3123005706 hasBestOaLocation W31230057062 @default.
• W3123005706 hasConcept C101104100 @default.
• W3123005706 hasConcept C105795698 @default.
• W3123005706 hasConcept C106159729 @default.
• W3123005706 hasConcept C106306483 @default.
• W3123005706 hasConcept C118671147 @default.
• W3123005706 hasConcept C121332964 @default.
• W3123005706 hasConcept C133514767 @default.
• W3123005706 hasConcept C146733006 @default.
• W3123005706 hasConcept C147581598 @default.
• W3123005706 hasConcept C149782125 @default.
• W3123005706 hasConcept C159877910 @default.
• W3123005706 hasConcept C162324750 @default.
• W3123005706 hasConcept C175223733 @default.
• W3123005706 hasConcept C187736073 @default.
• W3123005706 hasConcept C206658404 @default.
• W3123005706 hasConcept C23922673 @default.
• W3123005706 hasConcept C2983129042 @default.
• W3123005706 hasConcept C32896092 @default.
• W3123005706 hasConcept C33923547 @default.
• W3123005706 hasConcept C62520636 @default.
• W3123005706 hasConcept C91602232 @default.
• W3123005706 hasConcept C94128290 @default.
• W3123005706 hasConceptScore W3123005706C101104100 @default.
• W3123005706 hasConceptScore W3123005706C105795698 @default.
• W3123005706 hasConceptScore W3123005706C106159729 @default.
• W3123005706 hasConceptScore W3123005706C106306483 @default.
• W3123005706 hasConceptScore W3123005706C118671147 @default.
• W3123005706 hasConceptScore W3123005706C121332964 @default.
• W3123005706 hasConceptScore W3123005706C133514767 @default.
• W3123005706 hasConceptScore W3123005706C146733006 @default.
• W3123005706 hasConceptScore W3123005706C147581598 @default.
• W3123005706 hasConceptScore W3123005706C149782125 @default.
• W3123005706 hasConceptScore W3123005706C159877910 @default.
• W3123005706 hasConceptScore W3123005706C162324750 @default.
• W3123005706 hasConceptScore W3123005706C175223733 @default.
• W3123005706 hasConceptScore W3123005706C187736073 @default.
• W3123005706 hasConceptScore W3123005706C206658404 @default.
• W3123005706 hasConceptScore W3123005706C23922673 @default.
• W3123005706 hasConceptScore W3123005706C2983129042 @default.
• W3123005706 hasConceptScore W3123005706C32896092 @default.
• W3123005706 hasConceptScore W3123005706C33923547 @default.
• W3123005706 hasConceptScore W3123005706C62520636 @default.
• W3123005706 hasConceptScore W3123005706C91602232 @default.
• W3123005706 hasConceptScore W3123005706C94128290 @default.
• W3123005706 hasIssue "2" @default.
• W3123005706 hasLocation W31230057061 @default.
• W3123005706 hasLocation W31230057062 @default.
• W3123005706 hasOpenAccess W3123005706 @default.
• W3123005706 hasPrimaryLocation W31230057061 @default.
• W3123005706 hasRelatedWork W1514482339 @default.
• W3123005706 hasRelatedWork W1552269621 @default.
• W3123005706 hasRelatedWork W2047947128 @default.
• W3123005706 hasRelatedWork W2136118318 @default.
• W3123005706 hasRelatedWork W2551444002 @default.
• W3123005706 hasRelatedWork W2587066997 @default.
• W3123005706 hasRelatedWork W2590280148 @default.
• W3123005706 hasRelatedWork W2621623949 @default.

• next