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dc.contributor.authorHiggs, Helenen_US
dc.contributor.editorBeng W Angen_US
dc.date.accessioned2017-04-24T12:44:15Z
dc.date.available2017-04-24T12:44:15Z
dc.date.issued2009en_US
dc.date.modified2010-06-24T05:17:30Z
dc.identifier.issn0140-9883en_US
dc.identifier.doi10.1016/j.eneco.2009.05.003en_AU
dc.identifier.urihttp://hdl.handle.net/10072/29231
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 (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) and Engle's (Engle, R., 2002. Dynamic conditional correlation: a sample class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics 20 (3), 339-350.) dynamic conditional correlation multivariate GARCH models. Tse and Tsui's (Tse, Y.K., Tsui, A.K.C., 2002. A multivariate generalised autoregressive conditional heteroscedasticity model with time-varying correlations. Journal of Business and Economic Statistics 20 (3), 351-362.) 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.languageEnglishen_US
dc.language.isoen_AU
dc.publisherElsevieren_US
dc.publisher.placeNetherlandsen_US
dc.relation.ispartofstudentpublicationYen_AU
dc.relation.ispartofpagefrom748en_US
dc.relation.ispartofpageto756en_US
dc.relation.ispartofedition2009en_US
dc.relation.ispartofissue5en_US
dc.relation.ispartofjournalEnergy Economicsen_US
dc.relation.ispartofvolume31en_US
dc.rights.retentionYen_AU
dc.subject.fieldofresearchTime-Series Analysisen_US
dc.subject.fieldofresearchcode140305en_US
dc.titleModelling price and volatility inter-relationships in the Australian wholesale spot electricity marketsen_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Peer Reviewed (HERDC)en_US
dc.type.codeC - Journal Articlesen_US
gro.facultyGriffith Business School, Department of Accounting, Finance and Economicsen_US
gro.date.issued2009
gro.hasfulltextNo Full Text


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