Transfer entropy and causal price spillovers between core and Southeast European electricity markets

Key Points

• The research aims to explore the relationships and price differences between various electricity markets in Europe.
• Utilized Normalized Transfer Entropy to analyze causal dynamics.
• Examined price interactions among seven European electricity markets.
• Applied a nonlinear, information-theoretic framework.
• Identified significant price spillovers between core and Southeast European electricity markets.
• Revealed varying levels of market integration across the examined countries.