The European Energy Complex: An Integrated Market?
Author(s)
J. Brooks, Matthew
West, Jason
Griffith University Author(s)
Year published
2013
Metadata
Show full item recordAbstract
The level of market integration among the primary energy commodities in Europe can best be tested using a DCC GARCH approach to account for time-varying dynamics. This approach is shown to be superior to co-integration and correlation techniques. The results challenge the notion of a European 'energy complex,' which implies that important diversification advantages can be obtained from the European energy portfolio.The level of market integration among the primary energy commodities in Europe can best be tested using a DCC GARCH approach to account for time-varying dynamics. This approach is shown to be superior to co-integration and correlation techniques. The results challenge the notion of a European 'energy complex,' which implies that important diversification advantages can be obtained from the European energy portfolio.
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Journal Title
The Electricity Journal
Volume
26
Issue
5
Subject
Finance
Applied Economics
Business and Management
Policy and Administration