A Robust Multivariate Long Run Analysis of European Electricity Prices
| dc.creator | Bosco, Bruno | |
| dc.creator | Parisio, Lucia | |
| dc.creator | Pelagatti, Matteo | |
| dc.creator | Baldi, Fabio | |
| dc.date | 2017-04-01T19:58:12Z | |
| dc.date.accessioned | 2026-07-09T02:50:32Z | |
| dc.description | This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of long-term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives. | |
| dc.identifier | doi:10.22004/ag.econ.7438 | |
| dc.identifier | https://ageconsearch.umn.edu/record/7438/files/wp070103.pdf | |
| dc.identifier | http://ageconsearch.umn.edu/record/7438 | |
| dc.identifier.uri | http://hdl.handle.net/123456789/521162 | |
| dc.language | eng | |
| dc.publisher | ||
| dc.source | http://ageconsearch.umn.edu/record/7438 | |
| dc.title | A Robust Multivariate Long Run Analysis of European Electricity Prices | |
| dc.type | Text |