A TARCH examination of the return volatility�volume relationship in electricity futures

• Autores: Lester Hadsell
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 16, Nº. 12, 2006, págs. 893-901
• Idioma: inglés
• DOI: 10.1080/09603100500426663
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• Resumen

  • Four electricity futures markets on NYMEX between 1996 and 1999 are examined using a TARCH model. The evidence suggests traders had an asymmetric reaction to new information. Evidence also is found for a correlation between futures returns and trading volume in two markets (COB and PV).