This paper investigates the existence of contagion effects in electricity markets. The concept of contagion has been developed for high frequency financial markets, see the World Bank definition(Word Bank, 2000). Following Pick (2005) and Pesaran - Pick (2007) the paper presents a canonical,...

In this paper we investigate wholesale electricity prices integration process in the main European markets. After reforms introduced in the last decades in Europe, wholesale electricity prices are now determined in regulated markets. However, while market institutional frameworks show several...