Purpose: This paper offers an alternative approach to assessing contagions in price and load in the Australian interconnected power markets. This approach enabled us to identify a high-risk region and assess the direction of contagions from both buyers' and sellers' perspectives....

Purpose: This paper aims to investigate whether the best statistical model also corresponds to the best empirical performance in the volatility modeling of financialized commodity markets. Design/methodology/approach: The authors use various p and q values in Value-at-Risk (VaR) GARCH(p, q)...

Purpose This paper aims to indirectly evaluate the accuracy of various volatility models using a value-at-risk (VaR) approach and to investigate the relationship between the accuracy of volatility modelling and investments performance in the financialized commodity markets....