became physically integrated. The oil-linked Continental gas price became dominant, due to both the large volume of the … opening up of the Interconnector (1998) the UK gas market had neither government price regulation nor a physical Continental … oil and electricity, took place. Using monthly price data, we find a highly integrated market where wholesale demand seems …

, conventional linear models of price dynamics such as the Vector Error Correction Model (VECM) can lead to erroneous inferences … about cointegration relationships, price adjustments and relative values. We propose the use of regime-switching models to … address these issues. Our regime switching model uses price data to infer whether pricing is oil-driven (integrated) or gas …

, conventional linear models of price dynamics such as the Vector Error Correction Model (VECM) can lead to erroneous inferences … about cointegration relationships, price adjustments and relative values. We propose the use of regime-switching models to … address these issues. Our regime switching model uses price data to infer whether pricing is oil-driven (integrated) or gas …