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Cointegration Analysis of Power Prices in the Western North American Markets

In: Quantitative And Empirical Analysis Of Energy Markets

Author

Listed:
  • Mattia Bianchi

    (Dipartimento di Ingegneria Gestionale, Politecnico di Milano, Italy)

  • Apostolos Serletis

    (University of Calgary, Canada)

Abstract

The following sections are included:IntroductionLiterature ReviewThe DataTesting for Stochastic TrendsTesting for CointegrationError Correction Modeling and Causality TestingBivariate Granger Causality TestsTrivariate Granger Causality TestsConclusions

Suggested Citation

  • Mattia Bianchi & Apostolos Serletis, 2007. "Cointegration Analysis of Power Prices in the Western North American Markets," World Scientific Book Chapters, in: Quantitative And Empirical Analysis Of Energy Markets, chapter 11, pages 121-143, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812770462_0011
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