Cutting edge: Modelling dependence of price spikes in Australian electricity markets

Cutting edge - Modelling dependence of price spikes in Australian electricity markets

Price spikes are of particular importance due to their severe impacts on consumers, businesses and industry. They constitute a major source of risk to market participants – for example, electricity retailers with commitments to meet customers' daily electricity demands. To those trading in several electricity markets simultaneously, the probability of simultaneous price spikes (termed as tail dependence) is of great importance when computing risks. For this purpose, the problem of modelling

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: