Abstract
The level of market integration among the primary energy commodities in Europe can best be tested using a DCC GARCH approach to account for time-varying dynamics. This approach is shown to be superior to co-integration and correlation techniques. The results challenge the notion of a European ‘energy complex,’ which implies that important diversification advantages can be obtained from the European energy portfolio.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
