Modelling the Australian Electricity Spot Prices: A VAR-BEKK Approach

Manuela Braione () and Davide De Gaetano ()
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Manuela Braione: SOSE - Soluzioni per il Sistema Economico S.p.A.
Davide De Gaetano: SOSE - Soluzioni per il Sistema Economico S.p.A.

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2018, pp 191-197 from Springer

Abstract: Abstract This paper investigates the transmission of spot electricity prices and price volatility among the five Australian regional electricity markets. In particular, VAR(k)-BEKK(p, q) models with optimized lag lengths and different distributional assumptions are analysed. Empirical results suggest that a VAR(3)-BEKK(1,2) under Student-t assumption can better describe the complex dynamics between the markets.

Keywords: Spot electricity prices; Mean and volatility spillovers; Multivariate volatility (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-89824-7_35

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DOI: 10.1007/978-3-319-89824-7_35

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