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Transmission of prices and price volatility in Australian electricity spot markets : a multivariate GARCH analysis
Worthington, Andrew Charles; Kay-Spratley, Adam; Higgs, … - In: Energy economics 27 (2005) 2, pp. 337-350
Persistent link: https://www.econbiz.de/10002875191
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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
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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
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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
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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
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Modeling risk contagion in the Italian zonal electricity market
Grossi, Luigi; Ahelegbey, Daniel Felix; Fianu, Emmanuel … - 2020
Persistent link: https://www.econbiz.de/10012372990
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Preisvolatilität auf Elektrizitätsmärkten : Empirie, Modellierung und Anwendung
Benatzky, Joachim - 2015
Persistent link: https://www.econbiz.de/10011454702
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Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay; Ignatieva, Ekaterina - In: Energy economics 98 (2021), pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
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Factor models in the German electricity market : stylized facts, seasonality, and calibration
Hinderks, Wieger Johan; Wagner, Andreas - In: Energy economics 85 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012510288
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Decoding restricted participation in sequential electricity markets
Knaut, Andreas; Paschmann, Martin - 2017
Restricted participation in sequential markets may cause high price volatility and welfare losses. In this paper we … for price volatility and find that full market coupling may trigger quarter-hourly price valatility to decrease by a …
Persistent link: https://www.econbiz.de/10011666918