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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1061330
Description: We examine the dependence structure of electricity spot prices across regional markets in Australia. One of the major objectives in establishing a national electricity market was to provide a national ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/211105
Description: In this study, we measure asymmetric negative tail dependence and discuss their statistical properties. In a simulation study, we show the reliability of nonparametric estimators of tail copula to mea ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1137776
Description: The t copula is often used in risk management as it allows for modeling the tail dependence between risks and it is simple to simulate and calibrate. However, the use of a standard t copula is often c ... More
Reviewed: Reviewed
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