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,...