Volatility and Volume Effects in European Electricity Spot Markets

被引：14
|
作者：
Gianfreda, Angelica [1 ]
机构：
[1] Univ Verona, Dipartimento Sci Econ, Palazzo Econ,Via Artigliere 19, I-37129 Verona, Italy
来源：
ECONOMIC NOTES | 2010年 / 39卷 / 1-2期
关键词：
D O I：
10.1111/j.1468-0300.2009.00220.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper analyses the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between volume and volatility which can be both positive or negative depending on the specific market.
引用
收藏
页码：47 / 63
页数：17
相关论文
共 50 条
  • [1] Volatility transmission and volatility impulse response functions in European electricity forward markets
    Le Pen, Yannick
    Sevi, Benoit
    [J]. ENERGY ECONOMICS, 2010, 32 (04) : 758 - 770
  • [2] Electricity Spot Price Modeling and Forecasting in European Markets
    Tehrani, Shadi
    Juan, Jesus
    Caro, Eduardo
    [J]. ENERGIES, 2022, 15 (16)
  • [3] Analysis of Mean and Volatility Price Transmissions in the MIBEL and EPEX Electricity Spot Markets
    Ciarreta, Aitor
    Zarraga, Ainhoa
    [J]. ENERGY JOURNAL, 2015, 36 (04): : 41 - 60
  • [4] Integration of European Electricity Markets: Evidence from Spot Prices
    Gugler, Klaus
    Haxhimusa, Adhurim
    Liebensteiner, Mario
    [J]. ENERGY JOURNAL, 2018, 39 : 41 - 66
  • [5] Volatility spillover effects in European equity markets
    Baele, L
    [J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2005, 40 (02) : 373 - 401
  • [6] Price and volatility interrelationships in the wholesale spot electricity markets of the Central-Western European and Nordic region: a multivariate GARCH approach
    Sotiriadis M.S.
    Tsotsos R.
    Kosmidou K.
    [J]. Energy Systems, 2016, 7 (1) : 5 - 32
  • [7] Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis
    Worthington, A
    Kay-Spratley, A
    Higgs, H
    [J]. ENERGY ECONOMICS, 2005, 27 (02) : 337 - 350
  • [8] Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets
    Higgs, Helen
    [J]. ENERGY ECONOMICS, 2009, 31 (05) : 748 - 756
  • [9] Forecasting day ahead electricity spot prices: The impact of the EXAA to other European electricity markets
    Ziel, Florian
    Steinert, Rick
    Husmann, Sven
    [J]. ENERGY ECONOMICS, 2015, 51 : 430 - 444
  • [10] Volatility-spillover effects in european bond markets
    Christiansen, Charlotte
    [J]. EUROPEAN FINANCIAL MANAGEMENT, 2007, 13 (05) : 923 - 948
12345