Cointegration Analysis of Power Prices in the Western North American Markets

Mattia Bianchi and Apostolos Serletis
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Mattia Bianchi: Dipartimento di Ingegneria Gestionale, Politecnico di Milano, Italy

Chapter 11 in Quantitative and Empirical Analysis of Energy Markets, 2007, pp 121-143 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionLiterature ReviewThe DataTesting for Stochastic TrendsTesting for CointegrationError Correction Modeling and Causality TestingBivariate Granger Causality TestsTrivariate Granger Causality TestsConclusions

Keywords: Electricity Markets; Natural Gas Markets; Crude Oil Markets; Forecasting Energy Prices; Energy Markets Volatility; Business Cycles and Energy Prices; Common Features in Energy Markets; Codependent Cycles in Energy Markets; Volatility Modeling in Energy Markets; Chaos; Fractals; and Random Modulations in Energy Markets (search for similar items in EconPapers)
Date: 2007
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