Energy prices in Europe. Evidence of persistence across markets
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Martin-Valmayor, Miguel A.,Gil-Alana, Luis A., Infante, Juan: Energy prices in Europe. Evidence of persistence across markets, Resources Policy, Volume 82. https://doi.org/10.1016/j.resourpol.2023.103546.
consumers in different markets. For this purpose, a fractional integration model is used to evaluate the persistence and mean reversion in prices across the major European markets (Germany, France, Italy, UK, Spain). We compare the results with other major players as the US and Japan, to understand, first, if the European behavior is different, and second, if geopolitical shocks that are affecting this market are expected to be permanent. Empirical results show evidence of mean reversion pro ...