Please use this identifier to cite or link to this item:
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:
It is part of: The Energy Journal, 2019, vol. 40, num. 3, p. 127-152
Related resource:
ISSN: 0195-6574
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Files in This Item:
File Description SizeFormat 
693934.pdf3.02 MBAdobe PDFView/Open    Request a copy

Embargat   Document embargat fins el 31-12-2022

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.