A volatility spillover analysis with realized semi(co)variances in Australian electricity markets
利用高频价格数据，分析澳大利亚五个区域电力市场间的波动溢出效应，发现忽略协方差会低估溢出，且正负半方差能揭示不对称溢出，对短期交易者和监管者均有参考价值。
Volatility spillovers are a characteristic of interconnected electricity markets. We use high-frequency prices to analyze the transmission of volatility across five Australian regional electricity markets. We propose several models: The first includes only realized variances; the second adds realized covariances; the last two include positive and negative realized semi(co)variances, separately, obtained from the decomposition of the realized covariance matrix into components based on the sign of the underlying returns. We carry out the analysis for both static and dynamic frameworks and relate the behavior of spillovers to major events and policies affecting the markets. Results show that ignoring covariances results in spillovers being underestimated and highlight the importance of the role of semi(co)variances in detecting asymmetric spillovers. Finally, we discuss implications for short-run market participants and long-term planning by regulators.