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Analysis of Mean and Volatility Price Transmissions in the MIBEL and EPEX Electricity Spot Markets
16 references·1 citing·33 second hop
Analysis of Mean and Volatility Price Transmissions in the MIBEL and EPEX Electricity Spot Markets (2014)Analysis of Mean and Volatility Price Tra…Modeling the daily electricity price volatility with realized measures (2014)Modeling the daily electricit…Power spot price models with negative prices (2011)Power spot price models with …Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Correlations and volatility s…Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets (2009)Modelling price and volatilit…Integration and shock transmissions across European electricity forward markets (2009)Integration and shock transmi…Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis (2005)Transmission of prices and pr…The hedging performance of electricity futures on the Nordic power exchange (2003)The hedging performance of el…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)Dynamic Conditional Correlati…A test for constant correlations in a multivariate GARCH model (2000)A test for constant correlati…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Automatic Lag Selection in Covariance Matrix Estimation (1994)Automatic Lag Selection in Co…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence (2022)Does economic policy uncertai…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)ARCH modeling in finance (1992)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Multivariate GARCH models: a surveyModeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)MONEY, INCOME, AND CAUSALITY (1972)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Individualism and Momentum around the World (2010)Sentiment During Recessions (2012)Long-Term Global Market Correlations (2001)Modeling and Forecasting Realized Volatility (2001)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Modelling Nonlinear Economic Time Series (2010)Volatility transmission in emerging European foreign exchange markets (2011)Is Gold a Hedge or a Safe-Haven Asset in the COVID–19 Crisis? (2020)
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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2000Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models1,108 cited
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  • 2011Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies877 cited
  • 2000A test for constant correlations in a multivariate GARCH model441 cited
  • 2005Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis133 cited
  • 2009Integration and shock transmissions across European electricity forward markets117 cited
  • 2003The hedging performance of electricity futures on the Nordic power exchange111 cited
  • 2009Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets86 cited

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  • 2011Power spot price models with negative prices58 cited
  • 2014Modeling the daily electricity price volatility with realized measures40 cited
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    • 2022Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence69 cited