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Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA

Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017

. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures … volatility of carbon emissions, it is not surprising that crude oil and coal have recently become a very important research topic … prices for carbon emissions. For the EU, there are no daily spot prices for coal or carbon emissions, but there are daily …

Persistent link: https://www.econbiz.de/10011658757

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 therefore analyze the drivers of restricted participation in the German intraday auctin which is a short-term electricity market with quarter-hourly products. Applying a...

Persistent link: https://www.econbiz.de/10011666918

Volatility Spillovers in Electricity Markets : Evidence from the United States

Pantos, Themistoclis - 2019

This paper examines the degree of market integration, as observed by measuring volatility spillovers, in selected wholesale electricity spot markets from United States. We choose markets located at interconnected and non-interconnected areas. We use a Multivariate GARCH framework, which allows...

Persistent link: https://www.econbiz.de/10012867969