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Stochastic Modelling of Volatility and Inter-relationships in the Australian Electricity Markets

Wang, Joanna (Jia Jia) - 2020

markets are modelled using multivariate GARCH models. Stochastic volatility (SV) models, as flexible alternatives to GARCH … regional electricity markets in Australia, which are shown to be highly correlated in a previous study (Higgs, 2009). Bayesian …

Persistent link: https://www.econbiz.de/10012843391

Econometric modeling of regional electricity spot prices in the Australian market

Smith, Michael S.; Shively, Thomas S. - In: Energy economics 74 (2018), pp. 886-903

Persistent link: https://www.econbiz.de/10011972998

Decoding the Australian electricity market : New evidence from three-regime hidden semi-Markov model

Apergēs, Nikolaos; Gozgor, Giray; Lau, Chi Keung; … - In: Energy economics 78 (2019), pp. 129-142

Persistent link: https://www.econbiz.de/10012159895

Retailer value-at-risk in interconnected power markets : an Australian empirical analysis

Handika, Rangga; Triandaru, Sigit - In: International journal of economics and financial issues … 6 (2016) 6, pp. 6-9

Persistent link: https://www.econbiz.de/10011782375

Good volatility, bad volatility : what drives the asymmetric connectedness of Australian electricity markets?

Apergēs, Nikolaos; Baruník, Jozef; Lau, Chi Keung - In: Energy economics 66 (2017), pp. 108-115

Persistent link: https://www.econbiz.de/10011896435

Dynamic analysis of the German day-ahead electricity spot market

Paschen, Marius - 2014

This paper analyzes the dynamic behavior of day-ahead spot prices in the German electricity spot market due to positive structural shocks in wind and solar power. It uses a dynamic structural vector autoregressive model to estimate the related structural impulse response functions. The estimates...

Persistent link: https://www.econbiz.de/10010408059