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The European energy complex : an integrated market?

journal contribution
posted on 06.12.2017, 00:00 by M Brooks, Jason WestJason West
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.

History

Volume

26

Issue

5

Start Page

52

End Page

64

Number of Pages

13

ISSN

1040-6190

Location

United States

Publisher

Elsevier

Language

en-aus

Peer Reviewed

Yes

Open Access

No

External Author Affiliations

Griffith University; Not affiliated to a Research Institute;

Era Eligible

Yes

Journal

Electricity journal.