Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2010
Carbon Pollution Reduction Scheme (CPRS)) on wholesale electricity spot prices, by using a database of 117 news announcements …. We assess these effects with an ARMA(1,1)-GARCH(1,1) model, where daily electricity spot prices are regressed against … news effects on electricity wholesale spot prices. Our results show two asymmetric types of news effects, depending on …