Multivariate EMD-based Portfolio Value at Risk Estimate for Electricity Markets

Hongqian Wang, Kaijian He, Kin Keung Lai. Multivariate EMD-based Portfolio Value at Risk Estimate for Electricity Markets. In Lean Yu, Rongda Chen, Shouyang Wang, editors, Sixth International Conference on Business Intelligence and Financial Engineering, BIFE 2013, Hangzhou, China, November 14-16, 2013. pages 211-215, IEEE, 2013. [doi]

Abstract

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