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Equilibria in futures and spot electricity markets

✍ Scribed by Carlos Ruiz; S. Jalal Kazempour; Antonio J. Conejo

Book ID
113606427
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
812 KB
Volume
84
Category
Article
ISSN
0378-7796

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## Abstract This article studies how the spot‐futures conditional covariance matrix responds to positive and negative innovations. The main results of the article are achieved by obtaining the Volatility Impulse Response Function (VIRF) for asymmetric multivariate GARCH structures, extending Lin (1