Volatility Spillovers in Energy Markets
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 spillov...
| Autores: | , , |
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| Tipo de documento: | artigo |
| Estado: | Versión aceptada para publicación |
| Data de publicação: | 2019 |
| País: | España |
| Recursos: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositório: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/154602 |
| Acesso em linha: | https://hdl.handle.net/2445/154602 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Indústries energètiques Mercat financer Enginyeria de gas Processament de dades Energy industries Financial market Gas engineering Data processing |
| Resumo: | 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. (...) |
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