Exploring dependence structures among European electricity markets: Static and dynamic copula-GARCH and dynamic state-space approaches
In this paper, we examine various characteristics of both base and peak electricity spot prices and their returns, and investigate dependence structures, extreme co-movements, risk spillovers, and integration relationships among the five major European electricity markets, including France, Germany,...
Main Authors: | Sel Ly, Songsak Sriboonchitta, Jiechen Tang, Wing-Keung Wong |
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Format: | Article |
Language: | English |
Published: |
Elsevier
2022-11-01
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Series: | Energy Reports |
Subjects: | |
Online Access: | http://www.sciencedirect.com/science/article/pii/S2352484722005534 |
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