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

“…Further, the results of both the dynamic copulas and dynamic state-space models show that most pairs of the European electricity markets co-move symmetrically and have a time-varying dependence, but do not appear to grow over time. …”
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