Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe

• 資料種別: 記事
• タイトル: Influence of Fluctuations in Fossil Fuel Commodities on Electricity Markets: Evidence from Spot and Futures Markets in Europe
• 著者標目: Liu, Tiantian; He, Xie; Nakajima, Tadahiro; 羽森, 茂之 ハモリ, シゲユキ; https://ci.nii.ac.jp/author/DA09863571
• 出版年月日等: 2020-04
• 出版年（W3CDTF）: 2020-04
• タイトル（掲載誌）: Energies
• 巻号年月日等（掲載誌）: 13 8
• 掲載巻: 13
• 掲載号: 8
• 掲載ページ: 1900-1900
• 掲載年月日（W3CDTF）: 2020-04
• 出版事項（掲載誌）: MDPI
• 本文の言語コード: en
• 件名標目: electricity; crude oil; natural gas; coal; spillover effects
• 対象利用者: 一般
• DOI: 10.3390/en13081900
• オンライン閲覧公開範囲: インターネット公開
• 著作権情報: © 2020 by the authors. Licensee MDPI, Basel, Switzerland.; This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
• 関連情報（URI）: https://hdl.handle.net/20.500.14094/90007279; https://www.mdpi.com/1996-1073/13/8/1900/pdf
• 参照: Spillovers to Renewable Energy Stocks in the US and Europe: Are They Different?; https://cir.nii.ac.jp/crid/1050294045368791040; Does Investor Sentiment Affect Clean Energy Stock? Evidence from TVP-VAR-Based Connectedness Approach; https://cir.nii.ac.jp/crid/1050856995321783040; The impact of economic uncertainty caused by COVID-19 on renewable energy stocks; https://cir.nii.ac.jp/crid/1360013168735358592; Time-frequency connectedness between Asian electricity sectors; https://cir.nii.ac.jp/crid/1360572092818035456; Is volatility spillover enough for investor decisions? A new viewpoint from higher moments; https://cir.nii.ac.jp/crid/1360857593665844480
• 参照: Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets; https://cir.nii.ac.jp/crid/1050012570393210240; Dynamic connectedness of oil price shocks and exchange rates; https://cir.nii.ac.jp/crid/1360013170382749696; Return spillovers between white precious metal ETFs: The role of oil, gold, and global equity; https://cir.nii.ac.jp/crid/1360013170576154112; Pricing of electricity futures based on locational price differences: The case of Finland; https://cir.nii.ac.jp/crid/1360013172467334144; Dynamic analysis of the German day-ahead electricity spot market; https://cir.nii.ac.jp/crid/1360013172757370624; The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model; https://cir.nii.ac.jp/crid/1360294646870661376; Drivers of electricity price dynamics: Comparative analysis of spot and futures markets; https://cir.nii.ac.jp/crid/1360294647441766144; Analyzing the impact of futures trading on spot price volatility: Evidence from the spot electricity market in France and Germany; https://cir.nii.ac.jp/crid/1360294648045734400; Dynamic Cyclical Connectedness between Oil and Natural Gas Volatilities; https://cir.nii.ac.jp/crid/1360300777242794240; Better to give than to receive: Predictive directional measurement of volatility spillovers; https://cir.nii.ac.jp/crid/1360574095270785408; The network connectedness of volatility spillovers across global futures markets; https://cir.nii.ac.jp/crid/1360576120809016960; Time-varying convergence in European electricity spot markets and their association with carbon and fuel prices; https://cir.nii.ac.jp/crid/1360576121853466496; Electricity futures price models: Calibration and forecasting; https://cir.nii.ac.jp/crid/1360576122602831104; An analysis of the decline of electricity spot prices in Europe: Who is to blame?; https://cir.nii.ac.jp/crid/1360576122839135744; Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets; https://cir.nii.ac.jp/crid/1360855570576617984; Electricity Futures Prices: Indirect Storability, Expectations, and Risk Premiums; https://cir.nii.ac.jp/crid/1360857597258225024; Cross-commodity news transmission and volatility spillovers in the German energy markets; https://cir.nii.ac.jp/crid/1361137045584467968; Price and volatility dynamics between electricity and fuel costs: Some evidence for Spain; https://cir.nii.ac.jp/crid/1362262946211217920; Impulse response analysis in nonlinear multivariate models; https://cir.nii.ac.jp/crid/1362544418972231680; Generalized impulse response analysis in linear multivariate models; https://cir.nii.ac.jp/crid/1362544419910354944; On the network topology of variance decompositions: Measuring the connectedness of financial firms; https://cir.nii.ac.jp/crid/1362825893296040320; Market integration among electricity markets and their major fuel source markets; https://cir.nii.ac.jp/crid/1363107369286996736; Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage; https://cir.nii.ac.jp/crid/1363107370092120704; An analysis of the relationship between electricity and natural‐gas futures prices; https://cir.nii.ac.jp/crid/1363388844670691840; Dynamic and directional network connectedness of crude oil and currencies: Evidence from implied volatility; https://cir.nii.ac.jp/crid/1364233271095706112; Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta’s Deregulated Markets; https://cir.nii.ac.jp/crid/1370582247310037760; Measuring the frequency dynamics of financial connectedness and systemic risk; https://cir.nii.ac.jp/crid/1370582247310037761
• 連携機関・データベース: 国立情報学研究所 : CiNii Research; https://cir.nii.ac.jp/
• 提供元機関・データベース: 学術機関リポジトリデータベース; https://irdb.nii.ac.jp; Crossref; https://www.crossref.org; CiNii Articles; 科学研究費助成事業データベース; https://kaken.nii.ac.jp/ja
• NII論文ID: 120006873057

• 要約等: Using a fresh empirical approach to time-frequency domain frameworks, this study analyzes the return and volatility spillovers from fossil fuel market...