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Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets

Serletis, Apostolos; Shahmoradi, Akbar - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 3, pp. 1341-1341

In this paper we specify and estimate a multivariate GARCH-M model of natural gas and electricity price changes, and test for causal relationships between natural gas and electricity price changes and their volatilities, using data over the deregulated period from January 1, 1996 to November 9,...

Persistent link: https://www.econbiz.de/10004966096

Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets

Serletis, Apostolos; Shahmoradi, Akbar - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 3, pp. 1341-1341

Persistent link: https://www.econbiz.de/10005246250

Velocity and the variability of money growth : evidence from a VARMA, GARCH-M model

Serletis, Apostolos; Shahmoradi, Akbar - In: Macroeconomic dynamics 10 (2006) 5, pp. 652-666

Persistent link: https://www.econbiz.de/10003391095

Measuring and testing natural gas and electricity markets volatility : evidence from Alberta' deregulated markets

Serletis, Apostolos (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10003559119

VELOCITY AND THE VARIABILITY OF MONEY GROWTH: EVIDENCE FROM A VARMA, GARCH-M MODEL

Serletis, Apostolos; Shahmoradi, Akbar - In: Macroeconomic dynamics 10 (2006) 5, pp. 652-666

Persistent link: https://www.econbiz.de/10007609802

Measuring and testing natural gas and electricity markets volatility : evidence from Alberta' deregulated markets

Serletis, Apostolos; Shahmoradi, Akbar - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-18

Persistent link: https://www.econbiz.de/10009949880