Wenjun Zhang

Auckland University of Technology

Private Bag 1142

Auckland, 1142

New Zealand

  • Auckland University of Technology

SCHOLARLY PAPERS

3

DOWNLOADS

281

TOTAL CITATIONS

5

Scholarly Papers (3)

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1.

Analyzing and Forecasting Electricity Price using Regime-Switching Models: The Case of New Zealand Market

Number of pages: 40 Posted: 12 Mar 2021
Gaurav Kapoor, Nuttanan Wichitaksorn and Wenjun Zhang
Auckland University of Technology, Auckland University of Technology and Auckland University of Technology
Downloads 130 (476,604)
Citation 1

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Electricity price forecasting, New Zealand electricity market, Markov regime-switching model, Extreme value theory, Generalized Pareto distribution

2.

Robust Equilibrium Excess-of-Loss Reinsurance and CDS Investment Strategies for a Mean-Variance Insurer with Ambiguity Aversion

Number of pages: 36 Posted: 31 Aug 2018
Hui Zhao, Yang Shen, Yan Zeng and Wenjun Zhang
Tianjin University, York University, Sun Yat-sen University (SYSU) - Lingnan (University) College and Auckland University of Technology
Downloads 78 (677,086)
Citation 4

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Excess-of-loss reinsurance; Credit default swap; Mean-variance criterion; Model uncertainty; Robust equilibrium strategy

3.

Forecasting Half-Hourly Electricity Prices using a Mixed-Frequency Structural VAR Framework

Number of pages: 29 Posted: 08 Jun 2023
Gaurav Kapoor, Nuttanan Wichitaksorn, Mengheng Li and Wenjun Zhang
Auckland University of Technology, Auckland University of Technology, Economics Discipline Group, University of Technology Sydney and Auckland University of Technology
Downloads 73 (702,991)

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Half-hourly electricity price, Mixed-frequency, Vector autoregression, LASSO, Variational Bayes