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Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets

Author

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  • Helen Higgs

Abstract

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Suggested Citation

  • Helen Higgs, 2009. "Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets," Discussion Papers in Economics economics:200904, Griffith University, Department of Accounting, Finance and Economics.
    • Handle: RePEc:gri:epaper:economics:200904
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    File URL: https://research-repository.griffith.edu.au/bitstream/handle/10072/390461/2009-04-modelling-price-and-volatility-inter-relationships-in-the-australian-wholesale-spot-electricity-markets.pdf
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    More about this item

    Keywords

    Wholesale spot electricity price markets; Constant and dynamic conditional correlation; Multivariate GARCH;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • L94 - Industrial Organization - - Industry Studies: Transportation and Utilities - - - Electric Utilities
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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