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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.
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TL;DR: In this article, the authors investigated empirically the price discovery and volatility spillovers in Indian spot-futures commodity markets using vector error correction model and bivariate exponential Garch model.
Abstract: Purpose – The purpose of this paper is to investigate empirically the price discovery and volatility spillovers in Indian spot-futures commodity markets. Design/methodology/approach – The study has used four futures and spot indices of Multi-Commodity Exchange, Mumbai. The study also employs vector error correction model (VECM) and bivariate exponential Garch model (EGARCH) to analyze the price discovery and volatility spillovers in Indian spot-futures commodity market. Findings – The VECM shows that agriculture future price index (LAGRIFP), energy future price index (LENERGYFP) and aggregate commodity index (LCOMDEXFP) effectively serve the price discovery function in the spot market implying that there is a flow of information from future to spot commodity markets but the reverse causality does not exist. There is no cointegrating relationship between metal future price index (LMETALFP) and metal spot price index (LMETALSP). Besides the bivariate EGARCH model indicates that although the innovations in o...
17 citations
TL;DR: In this paper, the authors derived the welfare maximizing price rules in this case and showed that the standard peak load pricing rules no longer apply, and derived welfare maximization price rules for this case.
17 citations
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01 Jan 2014
TL;DR: A review of optimal investment rules in electricity generation can be found in this paper, where the main determinants of electricity forward prices and forward risk premia are analyzed. And a Dynamic Levy Copula Model for the Spark Spread is presented.
Abstract: A review of optimal investment rules in electricity generation.- A Survey of Commodity Markets and Structural Models for Electricity Prices.- Fourier based valuation methods in mathematical finance.- Mathematics of Swing Options: A Survey.- Inference for Markov-regime switching models of electricity spot prices.- Modelling electricity day-ahead prices by multivariate Levy semistationary processes.- Modelling Power Forward Prices.- An analysis of the main determinants of electricity forward prices and forward risk premia.- A Dynamic Levy Copula Model for the Spark Spread.- Constrained density estimation.- Electricity Options and Additional Information.
17 citations
13 Nov 2014
TL;DR: In this paper, the authors study the market efficiency, unbiasedness and direction of causality among four agricultural commodity futures contracts for a forecasting horizon of 28 days, 56 days and 84 days which are traded at National Commodity and Derivatives Exchange Ltd.
Abstract: Purpose – The purpose of this paper is to study the market efficiency, unbiasedness and the direction of causality among four agricultural commodity futures contracts for a forecasting horizon of 28 days, 56 days and 84 days which are traded at National Commodity and Derivatives Exchange Ltd. Design/methodology/approach – To analyse the efficiency of futures market in Indian scenario, we focus on maize, chickpea, soybean and wheat which are among the most important agricultural commodities traded in India. In the first step, Augmented Dickey-Fuller test and nonparametric Phillips-Perron approaches have been used to examine the stationarity of all futures and spot price series. After testing the presence of cointegration in futures and spot series using Johansen’s Cointegration approach, the joint restrictions of β 0=0, β 1=1 and β 1=1 on the cointegrating vectors were imposed to test whether the futures price is an unbiased predictor of spot at contract maturity. In the next step, linear Toda and Yamamoto...
17 citations
TL;DR: In this paper, a multivariate conditional volatility diagonal BEKK model is used to test and calculate spillover effects among natural gas spot, futures and ETF markets using the multivariate CVD model.
17 citations