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Volatility spillovers in the Iberian electricity market

2017-06Conference object Restricted access
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dc.contributor.authorVicente, João
dc.contributor.authorMartins, Ana Alexandra
dc.contributor.authorLagarto, João
dc.contributor.authorSousa, Jorge A. M.
dc.date.accessioned2018-07-31T13:18:40Z
dc.date.available2018-07-31T13:18:40Z
dc.date.issued2017-06
dc.description.abstractWith the globalization of the world economy, the relationships between commodities, financial and other markets are relevant. Although the electricity market is a more recent kind of market, it is still related with other markets, such as, commodities markets (natural gas, coal, oil), and carbon emissions markets. In this work, we propose to study the interconnections between the day-ahead Iberian electricity market (MIBEL) and the commodities markets, as well as, the carbon emissions markets between 2010 and 2016. To achieve this purpose, we use the Diebold-Yilmaz framework, which proposes measures of the interdependence of returns and volatilities through variance decomposition of forecasted error variances in a generalized vector autoregressive model. Results show that the markets that had a higher influence in MIBEL in the analyzed period were the TTF and Zeebrugge natural gas markets and the markets that MIBEL most influenced were the Coal (API2) and CER market.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationVICENTE, João; [et al] – Volatility spillovers in the Iberian electricity market. In 14th International Conference on the European Energy Market (EEM 2017): Dresden, Germany, IEEE, 2017. ISBN 978-1-5090-5499-2. Pp. 1-5pt_PT
dc.identifier.doi10.1109/EEM.2017.7981947pt_PT
dc.identifier.isbn978-1-5090-5499-2
dc.identifier.issn2165-4077
dc.identifier.urihttp://hdl.handle.net/10400.21/8736
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherInstitute of Electrical and Electronics Engineerspt_PT
dc.relation.publisherversionhttps://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=7981947pt_PT
dc.subjectDay-ahead marketpt_PT
dc.subjectIberian electricity marketpt_PT
dc.subjectVariance decompositionpt_PT
dc.subjectVector autoregressive modelpt_PT
dc.subjectVolatility spilloverspt_PT
dc.titleVolatility spillovers in the Iberian electricity marketpt_PT
dc.typeconference object
dspace.entity.typePublication
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/5876/UID%2FCEC%2F50021%2F2013/PT
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/5876/UID%2FEEA%2F00066%2F2013/PT
oaire.citation.conferencePlaceJUN 06-09, 2017 - Dresden, Germanypt_PT
oaire.citation.endPage5pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.title14th International Conference on the European Energy Market (EEM 2017)pt_PT
oaire.fundingStream5876
oaire.fundingStream5876
person.familyNameMartins
person.familyNameLagarto
person.familyNameSousa
person.givenNameAna Alexandra
person.givenNameJoão
person.givenNameJorge A. M.
person.identifier2750231
person.identifier.ciencia-id2016-88BF-5D0B
person.identifier.ciencia-id0512-2920-3C9E
person.identifier.ciencia-idF816-08E3-B045
person.identifier.orcid0000-0003-3733-6619
person.identifier.orcid0000-0002-7047-6210
person.identifier.orcid0000-0002-1110-6586
person.identifier.ridM-1020-2015
person.identifier.scopus-author-id34969159800
person.identifier.scopus-author-id24758947600
person.identifier.scopus-author-id55940825700
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsclosedAccesspt_PT
rcaap.typeconferenceObjectpt_PT
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relation.isAuthorOfPublication.latestForDiscovery174bfcee-266b-483c-bc13-f187a886014d
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