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Spot contract

About: Spot contract is a research topic. Over the lifetime, 3437 publications have been published within this topic receiving 91599 citations.


Papers
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Journal ArticleDOI
TL;DR: The authors showed that the term structures of forward premiums of other currencies have incremental information content in addition to the term structure of the currency's own forward premiums, in order to predict the spot rate of a currency.
Abstract: This paper shows that, in predicting the spot rate of a currency, the term structures of forward premiums of other currencies have incremental information content in addition to the term structure of the currency's own forward premiums. The theoretical model motivating the analysis hinges on the abundant evidence on the co-movements of excess returns from investing in different currencies. The empirical results are obtained through FIML estimation of a vector error correction model for weekly data on three bilateral US dollar exchange rates.

18 citations

Proceedings ArticleDOI
10 Jun 2004
TL;DR: In this paper, the management and procurement of reactive power services are outlined, followed by a brief analysis of associated procurement mechanisms and a summary about current practices in several operating electricity markets.
Abstract: Many kinds of ancillary services must be provided in the new electricity market environment, and reactive power service is among the most critical ones. First, the management and procurement of reactive power service are outlined, followed by a brief analysis of associated procurement mechanisms and a summary about current practices in several operating electricity markets. Then, the theoretical basis and characteristics of spot pricing are clarified, and two methods based on spot pricing and power flow tracing respectively analyzed. Finally, some problems not well solved in reactive power pricing are clarified and future research areas prospected.

17 citations

Journal ArticleDOI
TL;DR: In this article, a dynamic hedging strategy based on a bivariate GARCH-jump model augmented with autoregressive jump intensity is proposed to manage currency risk, which is capable of capturing volatility clustering and leptokurtosis.
Abstract: A dynamic hedging strategy based on a bivariate GARCH-jump model augmented with autoregressive jump intensity is proposed to manage currency risk. The GARCH-jump model, capable of capturing volatility clustering and leptokurtosis, provides a comprehensive description of the joint dynamics of the currency spot rate and the futures basis. We find significant common jump components in the currency spot rate and futures basis with jump sizes response asymmetrical to futures basis changes. Our out-of-sample hedging exercises show optimal hedge ratios incorporating information from common jump dynamics substantially reduce the portfolio risk of foreign currencies.

17 citations

Journal ArticleDOI
TL;DR: The commodity price risk from the manufacturer to the retailer is effectively mitigated with the hedging, and the benefits of the flexible price contract are maintained.

17 citations

Journal ArticleDOI
TL;DR: In this paper, the authors consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures price curve and provide necessary and sufficient conditions for when the induced spot price is a Markov process.
Abstract: We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures price curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a finite dimensional Markovian state space model, and we give general necessary and sufficient conditions, in terms of the volatility structure, for the existence of a finite dimensional realization. We study a number of concrete applications including a recently developed model for gas futures. In particular we provide necessary and sufficient conditions for when the induced spot price is a Markov process. In particular we can prove that the only HJM type futures price models with spot price dependent volatility structures which generically possess a spot price realization are the affine ones. These models are thus the only generic spot price models from a futures price term structure point of view.

17 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20241
202376
2022205
2021111
2020115
2019106