Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets

Energy Economics

Volumn 31, Issue 5, 2009, Pages 748-756

  Higgs, Helen ^a  

^a GRIFFITH UNIVERSITY   (Australia)

Author keywords

Constant and dynamic conditional correlation; Multivariate GARCH; Wholesale spot electricity price markets

Indexed keywords

CONDITIONAL CORRELATION; CONSTANT AND DYNAMIC CONDITIONAL CORRELATION; CONSTANT CONDITIONAL CORRELATION; ECONOMIC STATISTICS; ELECTRICITY PRICES; GENERALISED AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; INTER-RELATIONSHIPS; MULTIVARIATE GARCH; NATIONAL ELECTRICITY MARKETS; NEW SOUTH WALES; QUEENSLAND; REGIONAL ELECTRICITY MARKETS; SOUTH AUSTRALIA; TIME VARYING; UNIVARIATE; WHOLESALE SPOT ELECTRICITY MARKETS; WHOLESALE SPOT ELECTRICITY PRICE MARKETS;

COMMERCE; CORRELATION METHODS; COSTS; ELECTRICITY; REGRESSION ANALYSIS; TIME VARYING SYSTEMS;

DYNAMIC MODELS;

CORRELATION; ELECTRICITY GENERATION; ELECTRICITY SUPPLY; MODELING; MULTIVARIATE ANALYSIS; NUMERICAL MODEL; PRICE DYNAMICS; SPILLOVER EFFECT;

AUSTRALASIA; AUSTRALIA; NEW SOUTH WALES; QUEENSLAND; SOUTH AUSTRALIA; VICTORIA [AUSTRALIA];

EID: 67650710803     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2009.05.003     Document Type: Article

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