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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01 Jan 2001TL;DR: In this paper, the authors apply wavelet analysis to both the price and demand series at different time locations and levels of resolution to reveal and differentiate what is signal and what is noise.
Abstract: Modelling and forecasting the volatile spot pricing process for electricity presents a number of challenges. For increasingly deregulated electricity markets, like that in the Australian state of New South Wales, there is need to price a range of derivative securities used for hedging. Any derivative pricing model that hopes to capture the pricing dynamics within this market must be able to cope with the extreme volatility of the observed spot prices. By applying wavelet analysis, we examine both the price and demand series at different time locations and levels of resolution to reveal and differentiate what is signal and what is noise. Further, we cleanse the data of leakage from the high frequency, mean reverting price spikes into the more fundamental levels of frequency resolution. As it is from these levels that we base the reconstruction of our filtered series, we need to ensure they are least contaminated by noise. Using the filtered data, we explore time series models as possible candidates for explaining the pricing process and evaluate their forecasting ability. These models include one from the threshold autoregressive (AR) model. What we find is that models from the TAR class produce forecasts that best appear to capture the mean and variance components of the actual data.
61 citations
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TL;DR: In this paper, the authors found that the long-run relationship between the petroleum spot and futures prices has weakened after the Asian crisis as manifested in less co-integration among these prices, implying that the NYMEX price is the gasoline leader in both periods.
61 citations
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TL;DR: In this paper, the authors assess the effects of banking on tradable emission permit markets and the role of uncertainty in permit markets that allow banking, and they show that an increase in uncertainty about future spot markets at first lowers spot prices due to the presence of unregulated agents but soon spurs an increased spike in spot prices.
Abstract: This article assesses the effects of banking on tradable emission permit markets and, in particular, the role of uncertainty in permit markets that allow banking. In such markets, current and future spot trade markets are linked: An increase in uncertainty about future spot markets at first lowers spot prices due to the presence of unregulated agents but soon spurs an increase in spot prices.
61 citations
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TL;DR: In this article, the authors empirically investigate the pricing of contracts for difference (CfDs) over the period 2001 through 2006 and find that these contracts contain significant risk premia.
61 citations
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TL;DR: In this paper, the authors use a spatial model and a non-cooperative game approach to show that processors can use exclusive contracts to manipulate the spot price in certain situations, and they show that in markets where the spatial dimension is less important, captive supplies are ineffective as barriers to competition because firms have incentive to "jump" across a captive supply region to procure the farm.
Abstract: Exclusive contracts (often called "captive supplies") between processors and farmers are an increasingly important feature of modern agriculture. We study an interesting empirical regularity occurring in markets that feature both contract and spot exchange: the spot price is inversely related to the incidence of contract use in the market. We use a spatial model and a noncooperative game approach to show that processors can use exclusive contracts to manipulate the spot price in certain situations. Captive supplies in these settings represent geographic buffers that reduce competition among processors. However, in markets where the spatial dimension is less important, captive supplies are ineffective as barriers to competition because firms have incentive to "jump" across a captive supply region to procure the farm
61 citations