The purpose of this study is to investigate the causal linkages between the Spanish electricity, Brent crude oil and Zeebrugge (Belgium) natural gas 1-month-ahead forward prices. Following Lütkepohl et al. (2004), we control for the presence of a structural change in the series and then we use...

This paper carries out a comparative analysis between the Spanish day-ahead market and the intraday market. Due to electricity's features, it is very important to program generation electricity in advance. The Spanish electricity market includes a peculiar intraday market in which agents can...