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The European energy complex : an integrated market?
journal contributionposted on 2017-12-06, 00:00 authored 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.