| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| A Robust Multivariate Long Run Analysis of European Electricity Prices | |
| Matteo Pelagatti; Bruno Bosco; Lucia Parisio; Fabio Baldi | |
| 发表日期 | 2007 |
| 出处 | Energy: Resources and Markets |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | This paper analyses the interdependencies existing in wholesale European electricity prices. The results of a multivariate long run dynamic analysis of weekly median prices reveal the presence of a strong although not perfect integration among some neighboring markets considered in the sample and the existence of common long-term dynamics of electricity prices and gas prices but not oil prices. The existence of long-term dynamics among gas prices and electricity prices may prove to be important for long-term hedging operations to be conducted even in markets where there are no electricity derivatives. |
| 特色分类 | C15,C32,D44,L94,Q40 |
| 关键词 | European Electricity Prices,Cointegration,Interdependencies,Equilibrium Correction Model,Oil Prices |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/a-robust-multivariate-long-run-analysis-of-european-electricity-prices/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/117521 |
| 推荐引用方式 GB/T 7714 | Matteo Pelagatti,Bruno Bosco,Lucia Parisio,et al. A Robust Multivariate Long Run Analysis of European Electricity Prices. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2007-103.pdf（411KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
