Efimova, Olga; Serletis, Apostolos - In: Energy Economics 43 (2014) C, pp. 264-273
This paper investigates the empirical properties of oil, natural gas, and electricity price volatilities using a range of univariate and multivariate GARCH models and daily data from wholesale markets in the United States for the period from 2001 to 2013. The key contribution to the literature...