Iberian Electricity Market spot and futures prices: comovement and lead-lag relationship analysis

Marta Ferreira Dias
Traditionally, the literature on energy prices relied on cointegration methods to study the long-run relation between spot and futures prices and correlation analysis or causality tests to observe lead-lag relationships between them. In this paper we examine the comovements and lead-lag relationships within the Iberian electricity market using the continuous wavelet transform which operates in the time-frequency domain. This analysis may allow to distinguish relations at given frequencies and given time horizons. Empirical evidence for...
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