Exploring dependence structures among European electricity markets: Static and dynamic copula-GARCH and dynamic state-space approaches-Reference-Cited by-同舟云学术

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Exploring dependence structures among European electricity markets: Static and dynamic copula-GARCH and dynamic state-space approaches

Published:2022-11 Issue: Volume:8 Page:3827-3846
ISSN:2352-4847
Container-title:Energy Reports
language:en
Short-container-title:Energy Reports

Author:

Ly Sel,Sriboonchitta Songsak,Tang Jiechen,Wong Wing-Keung^ORCID

Publisher

Elsevier BV

Subject

General Energy

Reference37 articles.

1. CoVaR;Adrian;Am. Econ. Rev.,2016

2. Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management;Aloui;Energy Econ.,2014

3. Dependence structure in the Australian electricity markets: New evidence from regular vine copulae;Apergis;Energy Econ.,2020

4. Cross-border integration in the European electricity market. Evidence from the pricing behavior of Norwegian and Swiss exporters;Balaguer;Energy Policy,2011

5. Baur, Dirk G., 2003. What is Co-Movement?. EUR Working Paper No. 20759 EN, Available at SSRN: http://dx.doi.org/10.2139/ssrn.570585.

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