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, the authors compared the predictive power between the linear and nonlinear models and concluded that the nonlinear model is clearly superior to that of the linear model in terms of in-sample prediction.
74 citations
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TL;DR: In this paper, the authors examined wholesale electricity spot prices around the world and compared with respect to determinants such as market design and production characteristics, and found that regional electricity markets in Australia are characterized by relatively low levels of annual, weekly and intra-daily seasonal patterns, but are by far the most volatile markets.
74 citations
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TL;DR: In this article, the authors discuss the calibration of models built on mean-reverting processes combined with Markov regime switching (MRS) and propose a method that greatly reduces the computational burden induced by the introduction of independent regimes and perform a simulation study to test its efficiency.
Abstract: In this paper we discuss the calibration of models built on mean-reverting processes combined with Markov regime-switching (MRS). We propose a method that greatly reduces the computational burden induced by the introduction of independent regimes and perform a simulation study to test its efficiency. Our method allows for a 100 to over 1000 times faster calibration than in case of a competing approach utilizing probabilities of the last 10 observations. It is also more general and admits any value of γ in the base regime dynamics. Since the motivation for this research comes from a recent stream of literature in energy economics, we apply the new method to sample series of electricity spot prices from the German EEX and Australian NSW markets. The proposed MRS models fit these datasets well and replicate the major stylized facts of electricity spot price dynamics.
74 citations
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TL;DR: In this article, the degree of market integration between the three spot markets, the contract gas price in Germany and the oil price was investigated, and the results indicated a highly integrated market, and there is no evidence of an independent price determination process for natural gas.
74 citations
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TL;DR: In this paper, the authors consider a simple and easy-to-implement capacity reservation-base stock policy and compare it to single sourcing options, and examine the joint effect of demand and spot market price uncertainty.
73 citations