Topic
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 paper, extended models for estimating price developments on electricity markets are presented based on an ARMA model combination with GARCH, Gaussian-mixture and switching-regime approaches.
88 citations
TL;DR: In this paper, the authors evaluate different financial price and time series models, such as mean reversion, autoregressive moving average (ARMA), integrated ARMA (ARIMA), and general auto-regressive conditional heteroscedasticity (GARCH) process, usually applied for electricity price simulations.
88 citations
TL;DR: A forward cap increases firms’ incentives for forward contracting, whereas a spot cap reduces such incentives, and in both cases, more forward contracts are committed as the generation resource ownership structure becomes more diversified.
88 citations
TL;DR: In this paper, the spot and futures price dynamics of two important physical commodities, gasoline and heating oil, were analyzed using a non-linear error correction model with time-varying volatility.
87 citations
TL;DR: In this paper, the causal relationship between futures and spot prices in the freight futures market was investigated, and it was shown that the information incorporated in futures prices, when formulated as a VECM, produces more accurate forecasts of spot prices than the VAR, ARIMA and random-walk models.
Abstract: This paper investigates the causal relationship between futures and spot prices in the freight futures market. Being a thinly traded market whose underlying asset is a service, sets it apart from other markets investigated so far in the literature. Causality tests, generalised impulse response analysis and forecasting performance evaluation indicate that futures prices tend to discover new information more rapidly than spot prices. Revisions in the composition of the underlying index to make it more homogeneous, have strengthened the price discovery role of futures prices. The information incorporated in futures prices, when formulated as a VECM, produces more accurate forecasts of spot prices than the VAR, ARIMA and random-walk models, over several steps ahead.
87 citations