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    Exploring dependence structures among European electricity markets: static and dynamic copula-GARCH and dynamic state-space approaches by Ly, Sel, Sriboonchitta, Songsak, Tang, Jiechen, Wong, Wing-Keung

    Published 2023
    “…Based on the results of the ARMA-GJR-GARCH model, we first find that there are spillover effects in the returns of both base and peak spot prices in the five European electricity markets, and there are heteroskedastic, asymmetric, and leverage effects with negative and positive shocks, including spikes and drops during both base and peak load periods. …”
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    Journal Article
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