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  • The European Energy Complex: An Integrated Market?

    Author(s)
    J. Brooks, Matthew
    West, Jason
    Griffith University Author(s)
    West, Jason
    Year published
    2013
    Metadata
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    Abstract
    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
    DOI
    https://doi.org/10.1016/j.tej.2013.05.003
    Subject
    Finance
    Applied Economics
    Business and Management
    Policy and Administration
    Publication URI
    http://hdl.handle.net/10072/55741
    Collection
    • Journal articles

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