Energy Markets

Cros-Quantilogram

Working Papers

“Volatility spillovers in energy markets” (with Helena Chuliá and M. Dolores Furió). Submitted. Slides ICEFM

“Measuring positive and negative directional volatility spillovers in electricity markets”. (with Stephania Mosquera and Diego F. Manotas). Submitted.

“Dynamic connectedness and causality between oil prices and exchange rates” (with Jose Eduardo Gomez-Gonzalez and Jorge Hirs-Garzon).

Publications

Uncovering the nonlinear predictive causality between natural gas and electricity prices” (with Montserrat Guillen and Stephania Mosquera). Accepted by Energy Economics.

Effect of stopping hydroelectric power generation on electricity prices: An event study approach” (with Stephania Mosquera and Diego F. Manotas)  Renewable and Sustainable Energy Reviews, 94:456-457, 2018.

“Financial risk network architecture of energy firms” (with Natalia Restrepo and Diego F. Manotas)  Applied Energy, 215(C): 630-642, 2018 .

“Nonlinear empirical pricing in electricity markets using fundamental weather factors”, (with Mosquera S. and Manotas D.) Energy,  139(15): 594-605, 2017. Slides

“Risk Asymmetries in Hydrothermal Power Generation Markets”  (with Mosquera S. and Manotas D.) Electric Power Systems Research, 147: 154-164, 2017. Slides ECF-16