Transmission of prices and price volatility in Australian electricity spot markets: A multivariate GARCH analysis: Discussion Paper No 114
By Andrew C. Worthington, Adam Kay-Spratley, H. Higgs. 2002
165 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Electrical and Electronic Engineering
View Paper: https://www.semanticscholar.org/paper/1b01df3719e0165cc96059fc39db186e26dc1639
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- D. W. Bunn
- Shmuel S. Oren
- Angelica Gianfreda
- Shijie Deng
- Apostolos Serletis
- Andrew C. Worthington
- O. Efimova
- Jonas Andersson
In Electrical and Electronic Engineering
- D. W. Bunn
- Angelica Gianfreda
- Shijie Deng
- Shmuel S. Oren
- Apostolos Serletis
- Jonas Andersson
- Evangelos Kyritsis
- H. Higgs
Citations in the corpus
- Integration and shock transmissions across European electricity forward markets (2010, methodology): “Hourly prices coming from Power Exchanges have been converted into average day-ahead prices (as in Worthington et al. (2005), Lucia and Schwartz (2002) and De Vany and Wallas (1999)).”
- Electricity derivatives and risk management (2006, methodology): “Approaches to characterize market prices include discrete-time time series models such as GARCH and its variants [27–32], Markov regime-switching models [33], continuous-time diffusion models such”
- Electricity prices, large-scale renewable integration, and policy implications (2017, background): “Some other interesting studies on these stylized facts are Huisman and Mahieu (2003), Worthington et al. (2005), Karakatsani and Bunn (2010), and Efimova and Serletis (2014).”
- Energy markets volatility modelling using GARCH (2014, background): “Existing studies have explored the relationships among several electricity markets [see Goto and Karolyi (2004) and Worthington et al. (2005)], between oil and natural gas markets [see Ewing et al. (2002) and Serletis and Shahmoradi (2006)], and between oil markets and financial or macroeconomic…”
- Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market (2008, background): “The inclusion of interconnection dummy variables draws upon evidence by Worthington et al. (2005) that the presence and size of regional interconnectors plays an important role in Australian electricity price dynamics.”