You can manage bookmarks using lists, please log in to your user account for this.
Media type:
E-Article
Title:
Volatility and Volume Effects in European Electricity Spot Markets
Contributor:
Gianfreda, Angelica
Published:
Wiley, 2010
Published in:
Economic Notes, 39 (2010) 1-2, Seite 47-63
Language:
English
DOI:
10.1111/j.1468-0300.2009.00220.x
ISSN:
1468-0300;
0391-5026
Origination:
Footnote:
Description:
This paper analyses the volatility of wholesale electricity markets for five markets in Europe. Using GARCH models after filtering outliers, significant asymmetric effects and volatility persistence have been documented. Moreover, empirical evidence is provided on a significant relation between volume and volatility which can be both positive or negative depending on the specific market.