Modeling risk contagion in the Italian zonal electricity market

DOI10.1016/j.ejor.2021.06.052zbMath1490.91148OpenAlexW3182024630MaRDI QIDQ2076843

Emmanuel Senyo Fianu, Luigi Grossi, Daniel Felix Ahelegbey

Publication date: 22 February 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://dem-web.unipv.it/web/docs/dipeco/quad/ps/RePEc/pav/demwpp/DEMWP0182.pdf

zbMATH Keywords

complex networkssystemic riskOR in energyelectricity price volatilityzonal electricity market

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (1)

A practical multivariate approach to testing volatility spillover

Cites Work

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• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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