A multivariate GARCH analysis of the domestic transmission of energy commodity prices and volatility: A comparison of the peak and off-peak periods in the Australian electricity spot market
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References listed on IDEAS
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More about this item
KeywordsMarket integration; spot electricity prices; 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
StatisticsAccess and download statistics
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