Iberian Electricity Market spot and futures prices: comovement and lead-lag relationship analysis
Traditionally, the literature on energy prices relied on cointegration methods to study the long-run relation between spot and futures prices and correlation analysis or causality tests to observe lead-lag relationships between them. In this paper we examine the comovements and lead-lag relationship...
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| Format: | Article |
| Language: | English |
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Aalborg University Press
2019-01-01
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| Series: | International Journal of Sustainable Energy Planning and Management |
| Online Access: | https://journals.aau.dk/index.php/sepm/article/view/1952 |