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Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis

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  • Worthington, Andrew
  • Kay-Spratley, Adam
  • Higgs, Helen

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  • Worthington, Andrew & Kay-Spratley, Adam & Higgs, Helen, 2005. "Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis," Energy Economics, Elsevier, vol. 27(2), pages 337-350, March.
    • Handle: RePEc:eee:eneeco:v:27:y:2005:i:2:p:337-350
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    References listed on IDEAS

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    15. Bera, Anil K & Higgins, Matthew L, 1993. "ARCH Models: Properties, Estimation and Testing," Journal of Economic Surveys, Wiley Blackwell, vol. 7(4), pages 305-366, December.
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