Exploring dependence structures among European electricity markets: static and dynamic copula-GARCH and dynamic state-space approaches

• Main Authors: Ly, Sel, Sriboonchitta, Songsak, Tang, Jiechen, Wong, Wing-Keung
• Other Authors: School of Electrical and Electronic Engineering
• Format: Article
• Language: English
• Published: 2023
• Subjects: Engineering::Electrical and electronic engineering; European Electricity Price; Copula
• Online Access: https://hdl.handle.net/10356/164386
• Institution: Nanyang Technological University

In this paper, we examine various characteristics of both base and peak electricity spot prices and their returns, and investigate dependence structures, extreme co-movements, risk spillovers, and integration relationships among the five major European electricity markets, including France, Germany,...