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

• Author / Creator

  Frolova, Nadezda

• 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.

• Subjects / Keywords

  • Extremogram
  • Cross-quantilogram
  • Tail dependence
  • Copula
  • Extreme value dependence
  • Quantile regression

• Graduation date

  Fall 2016

• Type of Item

  Thesis

• Degree

  Master of Science

• DOI

  https://doi.org/10.7939/R34J0B53F

• License

  This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. 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.