Effects of Financial Instability on Subjective Well-Being: A Preference-based Approach
In: International Journal of Social Economics, 2021
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In: International Journal of Social Economics, 2021
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In: Tourism Analysis: An Interdisciplinary Journal, 2021
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In: Journal of Policy Research in Tourism, Leisure and Events, 2021
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In: Journal of International Financial Markets, Institutions and Money 2021, Vol. 75, No. 101444, 2021
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In: ERIA Discussion Paper Series, Paper No. 379 (2021)
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In: Tourism Recreation Research (2020), DOI: 10.1080/02508281.2020.1777053
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Working paper
In: Economic Modelling, Band 69
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In: International Review of Financial Analysis, Band 72, Heft 101590
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In: Annals of Tourism Research, Volume 87, March 2021, 103117
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In: Investment Management and Financial Innovations, 17(4), 121-135. doi:10.21511/imfi.17(4).2020.12
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© 2019, Econjournals. All rights reserved. This paper examines the degree of market integration, as observed by measuring volatility spillovers, in selected wholesale electricity spot markets from United States. We choose markets located at interconnected and non-interconnected areas. We use a Multivariate GARCH framework, which allows us to model time varying correlations and to conclude whether the markets show evidence of interdependency. We estimate the variance-covariance and correlation structure, in order to observe the evolution of interactions among markets, accounting for asymmetric effects. We find evidence of significant correlations between interconnected markets, which are mainly due to electricity transmission, since the observed correlations are above 0.5, but our results show that the desired level of integration has not been accomplished yet. Nevertheless, full integration is not an objective target, unless new technologies offer a boost towards that direction. Our results suggest that we should move towards a more integrated market, through legislation reforms and investment in infrastructure, which could increase competition and could lead to capital savings through lower electricity prices. The unique selection of the markets under examination and the 4-variate BEKK model for electricity markets are special characteristics of this paper.
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In: Tourism Management Perspectives (2018), Volume 25, pp. 23-28, Forthcoming
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