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.
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Notes
- 1.
For a deep understanding of the BEKK-type specifications refer to [2].
- 2.
The dummy γ t assumes value one if day t is a public holiday or a weekend and value zero otherwise.
References
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Braione, M., Gaetano, D.D. (2018). Modelling the Australian Electricity Spot Prices: A VAR-BEKK Approach. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-89824-7_35
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DOI: https://doi.org/10.1007/978-3-319-89824-7_35
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