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dc.contributor.convenorJames Dicken_AU
dc.contributor.authorHiggs, Helenen_US
dc.contributor.editorJames Dicken_US
dc.date.accessioned2017-05-03T15:14:07Z
dc.date.available2017-05-03T15:14:07Z
dc.date.issued2008en_US
dc.date.modified2009-09-03T07:15:27Z
dc.identifier.refurihttp://www.ace08.com.au/en_AU
dc.identifier.urihttp://hdl.handle.net/10072/24642
dc.description.abstractThis paper examines the inter-relationships of wholesale spot electricity prices among the four regional electricity markets in the Australian National Electricity Market (NEM): namely, New South Wales, Queensland, South Australia and Victoria using the constant conditional correlation and Tse and Tsui's (2002) and Engle's (2002) dynamic conditional correlation multivariate GARCH models. Tse and Tsui's (2000) dynamic conditional correlation multivariate GARCH model which takes account of the Student t specification produces the best results. At the univariate GARCH(1,1) level, the mean equations indicate the presence of positive own mean spillovers in all four markets and little evidence of mean spillovers from the other lagged markets. In the dynamic conditional correlation equation, the highest conditional correlations are evident between the well-connected markets indicating the presence of strong interdependence between these markets with weaker interdependence between the not so well-interconnected markets.en_US
dc.description.peerreviewedYesen_US
dc.description.publicationstatusYesen_AU
dc.format.extent226117 bytes
dc.format.mimetypeapplication/pdf
dc.languageEnglishen_US
dc.language.isoen_AU
dc.publisherThe Economic Society of Australia Inc.en_US
dc.publisher.placeBrisbane, Australiaen_US
dc.publisher.urihttp://www.ace08.com.au/en_AU
dc.relation.ispartofstudentpublicationNen_AU
dc.relation.ispartofconferencename37th Australian Conference of Economists ACE08en_US
dc.relation.ispartofconferencetitleProceedings of the 37th Australian Conference of Economistsen_US
dc.relation.ispartofdatefrom2008-09-30en_US
dc.relation.ispartofdateto2008-10-04en_US
dc.relation.ispartoflocationGold Coast, Queensland, Australiaen_US
dc.rights.retentionYen_AU
dc.subject.fieldofresearchTime-Series Analysisen_US
dc.subject.fieldofresearchcode140305en_US
dc.titleModelling price and volatility relationships in the Australian wholesale spot electricity markets using constant and dynamic conditional correlation multivariate GARCH modelsen_US
dc.typeConference outputen_US
dc.type.descriptionE1 - Conference Publications (HERDC)en_US
dc.type.codeE - Conference Publicationsen_US
gro.facultyGriffith Business School, Department of Accounting, Finance and Economicsen_US
gro.rights.copyrightCopyright 2008 Economic Society of Australia QLD Inc. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Published by Blackwell Publishing Ltd. Please refer to the publisher's website for access to the definitive, published version.en_AU
gro.date.issued2008
gro.hasfulltextFull Text


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