A volatility spillover analysis with realized semi(co)variances in Australian electricity markets-Reference-Cited by-同舟云学术

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A volatility spillover analysis with realized semi(co)variances in Australian electricity markets

Published:2022-07 Issue: Volume:111 Page:106076
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Chanatásig-Niza Evelyn^ORCID,Ciarreta Aitor,Zarraga Ainhoa^ORCID

Funder

Gobierno Vasco Departamento de Educación

Euskal Herriko Unibertsitatea

Ministerio de Ciencia e Innovación

Edge Hill University

Gobierno de España Ministerio de Ciencia e Innovación

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference45 articles.

1. The distribution of realized stock return volatility;Andersen;J. Financ. Econ.,2001

2. Good volatility, bad volatility: What drives the asymmetric connectedness of Australian electricity markets?;Apergis;Energy Econ.,2017

3. Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model;Apergis;Energy Econ.,2019

4. Lassoing the HAR model: A model selection perspective on realized volatility dynamics;Audrino;Econometric Rev.,2016

5. National electricity rules Version 161;Australian Energy Market Commission, AEMC,2020

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