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Permanent link (DOI): https://doi.org/10.7939/R34J0B53F

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Estimation of extreme value dependence: application to Australian spot electricity prices Open Access

Descriptions

Other title
Subject/Keyword
extreme value dependence
extremogram
quantile regression
cross-quantilogram
copula
tail dependence
Type of item
Thesis
Degree grantor
University of Alberta
Author or creator
Frolova, Nadezda
Supervisor and department
Cribben, Ivor (Alberta School of Business)
Wiens, Douglas (Mathematical and Statistical Sciences)
Examining committee member and department
Kong, Linglong (Mathematical and Statistical Sciences)
Jiang, Bei (Mathematical and Statistical Sciences)
Heo, Geseon (School of Dentistry)
Cribben, Ivor (Alberta School of Business)
Wiens, Douglas (Mathematical and Statistical Sciences)
Department
Department of Mathematical and Statistical Sciences
Specialization
Statistics
Date accepted
2016-09-22T10:27:26Z
Graduation date
2016-06:Fall 2016
Degree
Master of Science
Degree level
Master's
Abstract
There is an increasing interest in extreme value analysis for financial and climate data. Various statistical methods have been developed for estimating extreme value dependence in time series data sets and the field continues to grow. In this work we consider four statistical methods for estimating extreme value dependence: the extremogram and cross extremogram, quantile regression, the cross-quantilogram and the upper tail dependence coefficient estimated using Gumbel copulas. We consider within series dependence but also cross serial dependence which may be of more interest. We compare the four methods using a data set of spot electricity prices from Australian states included in the National Electricity Market. In addition we discuss the advantages and disadvantages of each method. Finally, a freeware R package, "extremogram", is made available that implements the extremogram methods.
Language
English
DOI
doi:10.7939/R34J0B53F
Rights
This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for the purpose of private, scholarly or scientific research. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.
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File title: Estimation of extreme value dependence: application to Australian spot electricity prices
File author: Nadezda Frolova
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