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The methodology used is based on a stochastic Hidden Markov Model and the results indicate first that all significant relationships between energy prices and demands were found to be positive; second, spot prices are only time dependent on future prices and spot energy, while future energy is solely time dependent on spot energy behavior; third, future prices are not only autocorrelated but also time-dependent with spot energy and future energy demands level; and finally, spot energy is autocorrelated and time-dependent with future prices and future energy. Policy implications of the results obtained are presented at the end of the article.<\/jats:p>","DOI":"10.1007\/s10479-021-04211-z","type":"journal-article","created":{"date-parts":[[2021,7,29]],"date-time":"2021-07-29T03:25:39Z","timestamp":1627529139000},"page":"191-229","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":7,"title":["Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach"],"prefix":"10.1007","volume":"313","author":[{"given":"Jorge","family":"Antunes","sequence":"first","affiliation":[]},{"given":"Luis Alberiko","family":"Gil-Alana","sequence":"additional","affiliation":[]},{"given":"Rossana","family":"Riccardi","sequence":"additional","affiliation":[]},{"ORCID":"https:\/\/orcid.org\/0000-0002-3482-1574","authenticated-orcid":false,"given":"Yong","family":"Tan","sequence":"additional","affiliation":[]},{"given":"Peter","family":"Wanke","sequence":"additional","affiliation":[]}],"member":"297","published-online":{"date-parts":[[2021,7,29]]},"reference":[{"key":"4211_CR1","doi-asserted-by":"publisher","first-page":"693","DOI":"10.1016\/j.eneco.2007.01.007","volume":"29","author":"OI Adeyemi","year":"2007","unstructured":"Adeyemi, O. 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