Dynamic correlation among title transfer facility natural gas, Brent oil and electricity EPEX spot markets: Spillover effects of economic shocks on returns and volatility

Dynamic correlation among title transfer facility natural gas, Brent oil and electricity EPEX spot markets: Spillover effects of economic shocks on returns and volatility

This research explores the spillover effects in the directional movement of returns and the persistence of shocks among three prominent energy spot markets: b transfer facility for natural gas, Brent crude oil and electricity markets from monthly price data spanning January 2010 to September 2022. M...

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Bibliographic Details
Main Authors: Gustavo Soutinho, Vítor Miguel Ribeiro, Isabel Soares
Format: Article
Language:English
Published: AIMS Press 2023-11-01
Series:AIMS Energy
Subjects:
return and volatility
natural gas
brent crude oil
electricity
garch
dynamic conditional correlation
time series
Online Access:https://www.aimspress.com/article/doi/10.3934/energy.2023057?viewType=HTML

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