We investigate joint tail events behavior of prices risk in European energy markets and to explore its interlinkages with supply and demand, financial market panics, policy uncertainty, and environmental regulation. Results reveal that extreme occurrences have a short-term memory, and the occurrence of extreme high prices lowers the likelihood of extreme high prices the following year, in contrast to extreme low prices, indicating a negative seasonal impact. The influence of same extraordinary events on extreme highs and extreme lows is asymmetric. Additionally, different exogenous shocks have varying effects on extreme pricing, as shown through intervention analysis under several shock scenarios.

我们调查了欧洲能源市场价格风险的联合尾事件行为，并探索其与供需、金融市场恐慌、政策不确定性和环境监管之间的相互联系。结果表明，极端事件具有短期记忆，与极端低价相比，极端高价的出现降低了次年出现极端高价的可能性，表明存在负面的季节性影响。相同的异常事件对极端高点和极端低点的影响是不对称的。此外，不同的外生冲击对极端定价的影响也不同，这在几种冲击情景下的干预分析中得到了体现。