Quantitative convergence analysis between gas and power market

The aim of this paper is to analyse the degree of convergence between gas and power markets. This is accomplished by focusing on the observed prices for both goods in different contexts and exploring the relation between them. Nevertheless, given that on January 1st 2005 the European carbon market started operation, the existence of some level of integration between this market and the aforementioned ones is also tested. The statistical tool adopted is Kalman Filter. Empirical evidence suggests that convergence certainly progresses, but on a non-uniform pace. (Author)