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A TARCH examination of the return volatility-volume relationship in electricity futures

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  • Lester Hadsell
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    Abstract

    Four electricity futures markets on NYMEX between 1996 and 1999 are examined using a TARCH model. The evidence suggests traders had an asymmetric reaction to new information. Evidence also is found for a correlation between futures returns and trading volume in two markets (COB and PV).

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 16 (2006)
    Issue (Month): 12 ()
    Pages: 893-901

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    Handle: RePEc:taf:apfiec:v:16:y:2006:i:12:p:893-901

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    Cited by:
    1. Sévi, Benoît & Le Pen, Yannick, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Economics Papers from University Paris Dauphine 123456789/5450, Paris Dauphine University.

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