Accurately modeling and predicting the mean and volatility of electricity prices can be of great importance to value electricity, bid or hedge against the volatility of electricity prices and manage risk. The paper applies various autoregressive moving average (ARMA) models with generalized...

This study estimates the causal relationship between electricity consumption and economic growth with annual data for the Commonwealth Independent States countries in three groups of income levels. Empirical results reveal that electricity consumption and GDP are cointegrated for all these...

We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric...

In this article, we test for the existence of daily seasonality in returns and volatilities of crude oil. Using a dummy-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on Mondays are significantly higher than on all...