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Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets

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  • Helen Higgs
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    File URL: https://www120.secure.griffith.edu.au/research/items/0984f40a-c33a-acc2-c66d-acd15893cf72/1/2009-04-modelling-price-and-volatility-inter-relationships-in-the-australian-wholesale-spot-electricity-markets.pdf
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    Bibliographic Info

    Paper provided by Griffith University, Department of Accounting, Finance and Economics in its series Discussion Papers in Economics with number economics:200904.

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    Date of creation: Apr 2009
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    Handle: RePEc:gri:epaper:economics:200904

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    Web page: http://www.griffith.edu.au/business-commerce/griffith-business-school/departments/department-accounting-finance-economics
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    Related research

    Keywords: Wholesale spot electricity price markets; Constant and dynamic conditional correlation; Multivariate GARCH;

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    Cited by:
    1. Chevallier, Julien, 2010. "The impact of Australian ETS news on wholesale spot electricity prices : an exploratory analysis," Economics Papers from University Paris Dauphine 123456789/4219, Paris Dauphine University.
    2. Ciarreta Antuñano, Aitor & Zárraga Alonso, Ainhoa, 2012. "Analysis of volatility transmissions in integrated and interconnected markets: The case of the Iberian and French markets," BILTOKI Biltoki;2012-04, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
    3. Sadorsky, Perry, 2012. "Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies," Energy Economics, Elsevier, vol. 34(1), pages 248-255.
    4. Nuno Carvalho Figueiredo & Patrícia Pereira da Silva & Pedro Cerqueira, 2014. "The Renewables Influence on Market Splitting: the Iberian Spot Electricity Market," GEMF Working Papers 2014-14, GEMF - Faculdade de Economia, Universidade de Coimbra.
    5. Eichler Michael & Grothe Oliver & Tuerk Dennis & Manner Hans, 2012. "Modeling spike occurrences in electricity spot prices for forecasting," Research Memorandum 029, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).

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