This paper investigates price transmissions across European energy forward markets at
distinct maturities during both normal times and extreme fluctuation periods. To this end, we
rely on the traditional Granger causality test (in mean) and its multivariate extension in tail
distribution developed by Candelon, Joëts, and Tokpavi (2013). Considering forward energy
prices at 1, 10, 20, and 30 months, it turns out that no significant causality exists between
markets at regular times whereas comovements are at play during extreme periods …

This paper investigates price transmissions across European energy forward markets at
distinct maturities during both normal times and extreme fluctuation periods. To this end, we
rely on the traditional Granger causality test (in mean) and its multivariate extension in tail
distribution developped by Candelon, Joëts, and Tokpavi (2012). Considering forward
energy prices at 1, 10, 20, and 30 months, it turns out that no significant causality exists
between markets at regular times whereas comovements are at play during extreme periods …