Abstract
We investigate joint tail events behavior of prices risk in European energy markets and to explore its interlinkages with supply and demand, financial market panics, policy uncertainty, and environmental regulation. Results reveal that extreme occurrences have a short-term memory, and the occurrence of extreme high prices lowers the likelihood of extreme high prices the following year, in contrast to extreme low prices, indicating a negative seasonal impact. The influence of same extraordinary events on extreme highs and extreme lows is asymmetric. Additionally, different exogenous shocks have varying effects on extreme pricing, as shown through intervention analysis under several shock scenarios.
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