Estimation and Analysis of VaR on forwards' data in Nordic Electricity Market
It was intended with this research to estimate in-sample and out-of-sample Value-at-Risk(VaR) on forwards’ data in Nordic electricity market by using different parametric and nonparametric approaches and investigate which of them give the most accurate results after implementation of back-testing. There were two confidence levels of 95% and 99% used in this research. After implementation of data