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peaks

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PrezzoUnicoNazionaleVaR

The aim of this repository is to keep track of my personal project 'Measuring univariate VaR for the ‘Prezzo Unico Nazionale’ hourly losses in the Italian electricity market (‘Mercato del Giorno Prima’): a backtesting exercise from July 2012 to October 2020 by means of asymmetric GARCH (GJR-GARCH) processes and Extreme Value Theory' which is an attempt to apply some statistical procedures to the prices of the Italian electricity market

  • Updated Oct 20, 2020
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