{"id":"https://openalex.org/W3186973165","doi":"https://doi.org/10.1080/03610918.2021.1949469","title":"Stochastic modelling of volatility and inter-relationships in the Australian electricity markets","display_name":"Stochastic modelling of volatility and inter-relationships in the Australian electricity markets","publication_year":2021,"publication_date":"2021-07-28","ids":{"openalex":"https://openalex.org/W3186973165","doi":"https://doi.org/10.1080/03610918.2021.1949469","mag":"3186973165"},"language":"en","primary_location":{"id":"doi:10.1080/03610918.2021.1949469","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2021.1949469","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5048225557","display_name":"Joanna J. J. Wang","orcid":"https://orcid.org/0000-0003-0088-7003"},"institutions":[{"id":"https://openalex.org/I114017466","display_name":"University of Technology Sydney","ror":"https://ror.org/03f0f6041","country_code":"AU","type":"education","lineage":["https://openalex.org/I114017466"]}],"countries":["AU"],"is_corresponding":false,"raw_author_name":"Joanna J. J. Wang","raw_affiliation_strings":["School of Mathematical and Physical Sciences, University of Technology Sydney, Sydney, Australia"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Mathematical and Physical Sciences, University of Technology Sydney, Sydney, Australia","institution_ids":["https://openalex.org/I114017466"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5055096066","display_name":"Jennifer Chan","orcid":"https://orcid.org/0000-0002-3167-6586"},"institutions":[{"id":"https://openalex.org/I129604602","display_name":"The University of Sydney","ror":"https://ror.org/0384j8v12","country_code":"AU","type":"education","lineage":["https://openalex.org/I129604602"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Jennifer S. K. Chan","raw_affiliation_strings":["School of Mathematics and Statistics, The University of Sydney, Sydney, Australia"],"raw_orcid":"https://orcid.org/0000-0002-3167-6586","affiliations":[{"raw_affiliation_string":"School of Mathematics and Statistics, The University of Sydney, Sydney, Australia","institution_ids":["https://openalex.org/I129604602"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5055096066"],"corresponding_institution_ids":["https://openalex.org/I129604602"],"apc_list":null,"apc_paid":null,"fwci":0.5828,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.81402718,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":"52","issue":"8","first_page":"3877","last_page":"3896"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9968000054359436,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.9968000054359436,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11052","display_name":"Energy Load and Power Forecasting","score":0.994700014591217,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9882000088691711,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.7218067646026611},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.5845773816108704},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.5602789521217346},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.5465384125709534},{"id":"https://openalex.org/keywords/copula","display_name":"Copula (linguistics)","score":0.5397672653198242},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.4615616202354431},{"id":"https://openalex.org/keywords/heteroscedasticity","display_name":"Heteroscedasticity","score":0.4250681698322296},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.42226988077163696},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.3322526216506958},{"id":"https://openalex.org/keywords/bayesian-probability","display_name":"Bayesian probability","score":0.31680548191070557},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.22760561108589172},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.18194580078125}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7218067646026611},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5845773816108704},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.5602789521217346},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5465384125709534},{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.5397672653198242},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.4615616202354431},{"id":"https://openalex.org/C101104100","wikidata":"https://www.wikidata.org/wiki/Q1063540","display_name":"Heteroscedasticity","level":2,"score":0.4250681698322296},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.42226988077163696},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.3322526216506958},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.31680548191070557},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.22760561108589172},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.18194580078125}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/03610918.2021.1949469","is_oa":false,"landing_page_url":"https://doi.org/10.1080/03610918.2021.1949469","pdf_url":null,"source":{"id":"https://openalex.org/S153329750","display_name":"Communications in Statistics - Simulation and Computation","issn_l":"0361-0918","issn":["0361-0918","1532-4141"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Communications in Statistics - Simulation and Computation","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.6000000238418579,"id":"https://metadata.un.org/sdg/7","display_name":"Affordable and clean energy"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":36,"referenced_works":["https://openalex.org/W1700486701","https://openalex.org/W1971347771","https://openalex.org/W1975366340","https://openalex.org/W1982914322","https://openalex.org/W1985500221","https://openalex.org/W1989303616","https://openalex.org/W1997737554","https://openalex.org/W2027632322","https://openalex.org/W2057765075","https://openalex.org/W2064553712","https://openalex.org/W2079672223","https://openalex.org/W2084636624","https://openalex.org/W2099733712","https://openalex.org/W2110898394","https://openalex.org/W2117999380","https://openalex.org/W2127958806","https://openalex.org/W2128266748","https://openalex.org/W2135809069","https://openalex.org/W2144246192","https://openalex.org/W2153155589","https://openalex.org/W2161310524","https://openalex.org/W2161452995","https://openalex.org/W2266103552","https://openalex.org/W2711487213","https://openalex.org/W2900100559","https://openalex.org/W3024902262","https://openalex.org/W3036332095","https://openalex.org/W3092577746","https://openalex.org/W3121736584","https://openalex.org/W3121918541","https://openalex.org/W3122253906","https://openalex.org/W3123714266","https://openalex.org/W3123926702","https://openalex.org/W3126042383","https://openalex.org/W4235146513","https://openalex.org/W4245438071"],"related_works":["https://openalex.org/W1608601224","https://openalex.org/W2017138702","https://openalex.org/W1978494725","https://openalex.org/W2776656900","https://openalex.org/W1968843728","https://openalex.org/W2031589205","https://openalex.org/W1530463171","https://openalex.org/W3029813487","https://openalex.org/W2371057259","https://openalex.org/W1877031344"],"abstract_inverted_index":{"To":[0],"model":[1,42,106],"the":[2,10,16,39,70,76,107,133,157,165],"price,":[3],"price":[4,108,110],"volatilities":[5,111],"and":[6,33,92,101,109,152],"their":[7,63],"inter-relationships":[8],"of":[9,72,78,112,115],"Australian":[11],"wholesale":[12],"spot":[13],"electricity":[14,79,121],"markets,":[15,116],"multivariate":[17,89],"generalized":[18],"autoregressive":[19],"conditional":[20],"heteroskedasticity":[21],"(MGARCH)":[22],"models":[23,35,74,91,96,153,166],"have":[24,61],"been":[25],"applied":[26],"(Higgs,":[27],"Energy":[28,46],"Economics":[29,47,136],"31":[30,137],"(5):748\u201356,":[31,138],"2009)":[32,139],"these":[34],"were":[36],"extended":[37],"to":[38,58,105,128],"sophisticated":[40],"GARCH-vine-copula":[41],"(Apergis":[43],"et":[44],"al.,":[45],"90:104834,":[48],"2020)":[49],"recently.":[50],"Stochastic":[51],"volatility":[52],"(SV)":[53],"models,":[54,60],"as":[55],"flexible":[56],"alternatives":[57],"GARCH":[59],"demonstrated":[62],"superiority":[64],"in":[65,75,123,132],"many":[66],"financial":[67],"applications.":[68],"However,":[69],"use":[71],"SV":[73,90,95],"modeling":[77],"markets":[80,122],"is":[81,150],"still":[82],"quite":[83],"limited.":[84],"This":[85],"paper":[86],"investigates":[87],"existing":[88],"proposes":[93],"efficient":[94],"with":[97,167,175],"bilateral":[98],"Granger":[99],"causality":[100],"skew":[102,168],"error":[103,169],"distributions,":[104],"three":[113],"pairs":[114],"selected":[117],"from":[118],"four":[119],"regional":[120],"Australia,":[124],"which":[125],"are":[126,154],"shown":[127],"be":[129],"highly":[130],"correlated":[131],"Higgs":[134],"(Energy":[135],"study.":[140],"Bayesian":[141],"approach":[142],"using":[143,156],"Markov":[144],"chain":[145],"Monte":[146],"Carlo":[147],"(MCMC)":[148],"method":[149],"adopted":[151],"implemented":[155],"software":[158],"OpenBUGS.":[159],"Based":[160],"on":[161],"Deviance":[162],"Information":[163],"Criterion,":[164],"distributions":[170],"perform":[171],"better":[172],"than":[173],"those":[174],"symmetric":[176],"distributions.":[177]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}