A TARCH examination of the return volatility-volume relationship in electricity futures

Four electricity futures markets on NYMEX between 1996 and 1999 are examined using a TARCH model. The evidence suggests traders had an asymmetric reaction to new information. Evidence also is found for a correlation between futures returns and trading volume in two markets (COB and PV).

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Year of publication:	2006
Authors:	Hadsell, Lester
Published in:	Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 16.2006, 12, p. 893-901
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005452070