Modelling price and volatility relationships in the Australian wholesale spot electricity markets using constant and dynamic conditional correlation multivariate GARCH models

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Title Modelling price and volatility relationships in the Australian wholesale spot electricity markets using constant and dynamic conditional correlation multivariate GARCH models
Author Higgs, Helen
Publication Title Proceedings of the 37th Australian Conference of Economists
Editor James Dick
Year Published 2008
Publisher The Economic Society of Australia Inc.
Peer Reviewed Yes
Published Yes
Publisher URI http://www.ace08.com.au/
Copyright Statement Copyright 2008 Economic Society of Australia QLD Inc. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Published by Blackwell Publishing Ltd. Please refer to the publisher's website for access to the definitive, published version.
Research Centre Griffith Asia Institute
Faculty Griffith Business School
Publication Type Conference Publications (Full Written Paper - Refereed)

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