Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach
利用2007-2017年葡萄牙和西班牙的日度数据，通过随机隐马尔可夫模型分析能源价格与需求的时间依赖性，发现现货与期货价格及需求之间存在正向且复杂的时间依赖关系。
Abstract In this paper, we analyze the temporal dependence in energy prices and demand using daily data of Portugal and Spain over the period 2007–2017. The methodology used is based on a stochastic Hidden Markov Model and the results indicate first that all significant relationships between energy prices and demands were found to be positive; second, spot prices are only time dependent on future prices and spot energy, while future energy is solely time dependent on spot energy behavior; third, future prices are not only autocorrelated but also time-dependent with spot energy and future energy demands level; and finally, spot energy is autocorrelated and time-dependent with future prices and future energy. Policy implications of the results obtained are presented at the end of the article.