Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/154602| Title: | Volatility Spillovers in Energy Markets |
| Author: | Chuliá Soler, Helena Furió Ortega, María Dolores Uribe Gil, Jorge Mario |
| Keywords: | Indústries energètiques Mercat financer Enginyeria de gas Processament de dades Energy industries Financial market Gas engineering Data processing |
| Issue Date: | May-2019 |
| Publisher: | International Association for Energy Economics |
| Abstract: | We investigate the extent and evolution of the links between energy markets using a broad data set consisting of a total of 17 series of prices for commodities such as electricity, natural gas, coal, oil and carbon. The results shed light on a number of relevant issues such as the volatility spillover effect in energy markets (within and across sectors) and the identification of those markets that are exporters (importers) of volatility to (from) other markets, as well as evidence of the time-varying nature of these effects. (...) |
| Note: | Versió postprint del document publicat a: https://doi.org/10.5547/01956574.40.3.hchu |
| It is part of: | The Energy Journal, 2019, vol. 40, num. 3, p. 127-152 |
| URI: | http://hdl.handle.net/2445/154602 |
| Related resource: | https://doi.org/10.5547/01956574.40.3.hchu |
| ISSN: | 0195-6574 |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 693934.pdf | 3.02 MB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.