Retailer value-at-risk in interconnected power markets: An Australian empirical analysis

Keyphrases

• At-risk 100%
• Retailers 100%
• Power Market 100%
• Moving Average 66%
• GARCH (1,1) Model 66%
• Price Change 33%
• Seller 33%
• Buyers 33%
• Volatility Modelling 33%
• Backtesting 33%
• Retailer Perspective 33%
• Investor Perspective 33%
• Exponentially Weighted Moving Average 33%
• Model Risk 33%
• Moving Average Model 33%

Social Sciences

• Value at Risk 100%
• Market Power 100%
• Investors 66%
• Generalized Autoregressive Conditional Heteroskedasticity 66%
• Volatility 33%
• Risk Modeling 33%

Economics, Econometrics and Finance

• Smoothing Technique 100%
• Investors 66%
• Generalized Autoregressive Conditional Heteroskedasticity 66%
• Volatility 33%
• Risk Modeling 33%