Files

693934.pdf (2.95 MB)

Document type

Article

Version

Accepted version

Publication date

2019-05

All rights reserved

Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/154602

Volatility Spillovers in Energy Markets

Journal Title

Authors

Director/Tutor

Additional contribution

Journal ISSN

Volume Title

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. (...)

Related resource

https://doi.org/10.5547/01956574.40.3.hchu

Subject

Indústries energètiques, Mercat financer, Enginyeria de gas, Processament de dades

Subject (English)

Energy industries, Financial market, Gas engineering, Data processing

Citation

Collections

Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citation

CHULIÁ SOLER, Helena, FURIÓ ORTEGA, María Dolores and URIBE GIL, Jorge Mario. Volatility Spillovers in Energy Markets. The Energy Journal. 2019. Vol. 40, num. 3, pags. 127-152. ISSN 0195-6574. [consulted: 16 of October of 2026]. Available at: https://hdl.handle.net/2445/154602

Export metadata

JSON - METS

Share record