Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis
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- Worthington, Andrew & Kay-Spratley, Adam & Higgs, Helen, 2005. "Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis," Energy Economics, Elsevier, vol. 27(2), pages 337-350, March.
References listed on IDEAS
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More about this item
Keywordsspot electricity price markets; mean and volatility spillovers; multivariate GARCH;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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