A note on natural gas price transmission from TTF to other European hubs. Replication codes.

This dataset contains both time series as well as R scripts that allows to replicate the results described in the article "A note on natural gas price transmission from TTF to other European hubs" published in Econometric Research in Finance. They allow to estimate both ADL and GARCH models from the article. The detailed instruction on how to use the attached codes is presented in the `readme.txt` file.