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
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