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dc.contributor.authorLyu, C
dc.contributor.authorXuan, H
dc.contributor.authorNepal, R
dc.contributor.authorJamasb, T
dc.date.accessioned2024-05-03T09:24:40Z
dc.date.issued2024-04-26
dc.date.updated2024-04-26T13:43:07Z
dc.description.abstractThis paper investigates price volatility and spillovers in the Nordic electricity wholesale markets. We use the Time-Varying Parameter Vector Autoregressive (TVP-VAR), Rolling Window-based VAR (RW-VAR), and high dimensional VAR with common factors (VAR-CF) methods and analyze the integration dynamics among these markets and impact of carbon prices on volatility spillovers. We use 107,352 hourly price data from January 2010 to March 2022. The novelty of this research is four-fold. First, we adopt a connectedness approach to explore volatility interactions among the four Nordic markets, contributing to the scarce literature on volatility in this market. Second, we segment the Norwegian market into southern and northern regions, revealing differences in volatility spillover patterns. Third, we investigate the effect of carbon prices on volatility spillovers and market dynamics. Last, we show significant contribution of covariances to interdependence among markets. We find significant connectedness between the Nordic markets, with an average Total Connectedness Index of between 50% (with a system of variance) and 90% (with a system of both variance and covariance). Sweden is the sole net volatility spillover transmitter, while Denmark experiences the largest shocks from the system. We further find that carbon prices exert a 5% significant impact on the volatility spillover index.en_GB
dc.description.sponsorshipCopenhagen School of Energy Infrastructure (CSEI)en_GB
dc.format.extent107559-
dc.identifier.citationVol. 134, article 107559en_GB
dc.identifier.doihttps://doi.org/10.1016/j.eneco.2024.107559
dc.identifier.urihttp://hdl.handle.net/10871/135840
dc.language.isoenen_GB
dc.publisherElsevieren_GB
dc.relation.urlhttps://www.nordpoolgroup. com/services/power-market-data-services/en_GB
dc.rights© 2024 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).en_GB
dc.subjectElectricity marketsen_GB
dc.subjectPrice volatilityen_GB
dc.subjectNord poolen_GB
dc.subjectCarbon marketen_GB
dc.subjectRenewable energyen_GB
dc.titleVolatility spillovers and carbon price in the Nordic wholesale electricity marketsen_GB
dc.typeArticleen_GB
dc.date.available2024-05-03T09:24:40Z
dc.identifier.issn0140-9883
exeter.article-number107559
dc.descriptionThis is the final version. Available from Elsevier via the DOI in this record. en_GB
dc.descriptionData availability: Datasets related to this electricity intraday prices can be found at Nord Pool Elspot (Day-ahead markets) and Elbas (Intraday markets), https://www.nordpoolgroup. com/services/power-market-data-services/. This research dataset obtained from Nord Pool is confidential and cannot be redistributed or posted on a website. Access requests to Nord Pool data portal shall be made to Nord Pool. Datasets related to energy market prices and carbon market prices can be found at Thomson Reuters Eikon, and Bloomberg and are available upon reasonable request with the corresponding author.en_GB
dc.identifier.eissn1873-6181
dc.identifier.journalEnergy Economicsen_GB
dc.relation.ispartofEnergy Economics
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/en_GB
dcterms.dateAccepted2024-04-12
rioxxterms.versionVoRen_GB
rioxxterms.licenseref.startdate2024-04-26
rioxxterms.typeJournal Article/Reviewen_GB
refterms.dateFCD2024-05-03T09:19:45Z
refterms.versionFCDVoR
refterms.dateFOA2024-05-03T09:24:46Z
refterms.panelBen_GB
refterms.dateFirstOnline2024-04-26


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© 2024 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
Except where otherwise noted, this item's licence is described as © 2024 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).