Modeling and analyzing the mean and volatility relationship between electricity price returns and fuel market returns
Year of publication: |
July 2016
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Authors: | Wei, Ching Chun |
Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 8.2016, 7, p. 55-70
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Subject: | return and volatility spillover | electricity market | fuel market | energy market | MGARCH | Volatilität | Volatility | Energiemarkt | Energy market | Strompreis | Electricity price | Kapitaleinkommen | Capital income | Elektrizitätswirtschaft | Electric power industry | ARCH-Modell | ARCH model |
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