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Dynamic Granger-causal networks of electricity spot prices: A novel approach to market integration

Citations

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Cited by:

  1. Zhang, Peipei & Sun, Mei & Zhang, Xiaoling & Gao, Cuixia, 2017. "Who are leading the change? The impact of China’s leading PV enterprises: A complex network analysis," Applied Energy, Elsevier, vol. 207(C), pages 477-493.
  2. Do, Hung Xuan & Nepal, Rabindra & Jamasb, Tooraj, 2020. "Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets," Energy Economics, Elsevier, vol. 92(C).
  3. Davide Ciferri & Maria Chiara D’Errico & Paolo Polinori, 2020. "Integration and convergence in European electricity markets," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 463-492, July.
  4. Yao, Can-Zhong & Lin, Ji-Nan & Lin, Qing-Wen & Zheng, Xu-Zhou & Liu, Xiao-Feng, 2016. "A study of causality structure and dynamics in industrial electricity consumption based on Granger network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 297-320.
  5. Yan, Guan & Trück, Stefan, 2020. "A dynamic network analysis of spot electricity prices in the Australian national electricity market," Energy Economics, Elsevier, vol. 92(C).
  6. Helena Chuliá & Dolores Furió & Jorge M. Uribe, 2019. "Volatility Spillovers in Energy Markets," The Energy Journal, , vol. 40(3), pages 173-198, May.
  7. de Menezes, Lilian M. & Houllier, Melanie A., 2015. "Germany's nuclear power plant closures and the integration of electricity markets in Europe," Energy Policy, Elsevier, vol. 85(C), pages 357-368.
  8. Sun, Mei & Li, Juan & Gao, Cuixia & Han, Dun, 2017. "Identifying regime shifts in the US electricity market based on price fluctuations," Applied Energy, Elsevier, vol. 194(C), pages 658-666.
  9. Štefan Bojnec & Alan Križaj, 2021. "Electricity Markets during the Liberalization: The Case of a European Union Country," Energies, MDPI, vol. 14(14), pages 1-21, July.
  10. Castañeda, Gonzalo & Chávez-Juárez, Florian & Guerrero, Omar A., 2018. "How do governments determine policy priorities? Studying development strategies through spillover networks," Journal of Economic Behavior & Organization, Elsevier, vol. 154(C), pages 335-361.
  11. Shi Chen & Wolfgang Karl Hardle & Brenda L'opez Cabrera, 2020. "Regularization Approach for Network Modeling of German Power Derivative Market," Papers 2009.09739, arXiv.org.
  12. Montoya, L.G. & Guo, B. & Newbery, D. & Dodds, P.E. & Lipman, G. & Castagneto Gissey, G., 2020. "Measuring inefficiency in international electricity trading," Energy Policy, Elsevier, vol. 143(C).
  13. Cassetta, Ernesto & Nava, Consuelo R. & Zoia, Maria Grazia, 2022. "A three-step procedure to investigate the convergence of electricity and natural gas prices in the European Union," Energy Economics, Elsevier, vol. 105(C).
  14. Torriti, Jacopo, 2014. "Privatisation and cross-border electricity trade: From internal market to European Supergrid?," Energy, Elsevier, vol. 77(C), pages 635-640.
  15. Abdullah, Mohammad & Abakah, Emmanuel Joel Aikins & Wali Ullah, G M & Tiwari, Aviral Kumar & Khan, Isma, 2023. "Tail risk contagion across electricity markets in crisis periods," Energy Economics, Elsevier, vol. 127(PB).
  16. Huan Chen & Lixin Tian & Minggang Wang & Zaili Zhen, 2017. "Analysis of the Dynamic Evolutionary Behavior of American Heating Oil Spot and Futures Price Fluctuation Networks," Sustainability, MDPI, vol. 9(4), pages 1-29, April.
  17. Ma, Rufei & Liu, Zhenhua & Zhai, Pengxiang, 2022. "Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence," Energy Economics, Elsevier, vol. 107(C).
  18. Ji, Qiang & Bouri, Elie & Roubaud, David & Kristoufek, Ladislav, 2019. "Information interdependence among energy, cryptocurrency and major commodity markets," Energy Economics, Elsevier, vol. 81(C), pages 1042-1055.
  19. Sikorska-Pastuszka, Magdalena & Papież, Monika, 2023. "Dynamic volatility connectedness in the European electricity market," Energy Economics, Elsevier, vol. 127(PA).
  20. Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley, 2017. "Extreme risk spillover network: application to financial institutions," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1417-1433, September.
  21. Bigerna, Simona & Bollino, Carlo Andrea & Ciferri, Davide & Polinori, Paolo, 2017. "Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications," Renewable and Sustainable Energy Reviews, Elsevier, vol. 68(P1), pages 199-211.
  22. Samarth Kumar & David Schönheit & Matthew Schmidt & Dominik Möst, 2019. "Parsing the Effects of Wind and Solar Generation on the German Electricity Trade Surplus," Energies, MDPI, vol. 12(18), pages 1-17, September.
  23. Cassetta, Ernesto & Nava, Consuelo R. & Zoia, Maria Grazia, 2022. "EU electricity market integration and cross-country convergence in residential and industrial end-user prices," Energy Policy, Elsevier, vol. 165(C).
  24. Gianfreda, Angelica & Parisio, Lucia & Pelagatti, Matteo, 2016. "Revisiting long-run relations in power markets with high RES penetration," Energy Policy, Elsevier, vol. 94(C), pages 432-445.
  25. Gugler, Klaus & Haxhimusa, Adhurim, 2019. "Market integration and technology mix: Evidence from the German and French electricity markets," Energy Policy, Elsevier, vol. 126(C), pages 30-46.
  26. Ling, Yu-Xiu & Xie, Chi & Wang, Gang-Jin, 2022. "Interconnectedness between convertible bonds and underlying stocks in the Chinese capital market: A multilayer network perspective," Emerging Markets Review, Elsevier, vol. 52(C).
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