Dynamics for the Forward Curve
Dynamics of the Forward Curve and Volatility of Energy Futures Prices
... EGACRH-X models in favour of the EGARCH-TX model in the case of near month and 2 nd month futures. Finally, the estimates of the natural gas futures prices EGARCH models are found in Table 5. The diagnostic tests confirm ...
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Dynamics of the Forward Curve and Volatility of Energy Futures Prices
... inventory dynamics, Routledge et al. (2000) derive spot and forward energy ...backwardation forward curve captures the impact of low stock levels and high consumption of energy ...
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A semiparametric factor model for electricity forward curve dynamics
... as long as they resemble the functions in Figure 2. We believe that this can be an insightful guidance for parametric factor representations of electricity forward curves. The functions b m 1 are relatively flat ...
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A semiparametric factor model for electricity forward curve dynamics
... as long as they resemble the functions in Figure 2. We believe that this can be an insightful guidance for parametric factor representations of electricity forward curves. The functions b m 1 are relatively flat ...
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Analysis of the Dynamics of the Brazilian Forward Market of Electricity
... negotiated forward contracts for electricity are the primary instruments to mitigate risks and evaluate ...the dynamics of the forward price of electricity negotiated in ...the forward ...
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Along the Forward Curve for Natural Gas: Unobservable Shocks and Dynamic Correlations
... Figure 2 shows that the returns on the three maturities are strongly correlated, and that there are frequent peaks that push the correlations to extreme levels. It is difficult to detect a pattern in the dynamics ...
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The co-movements along the forward curve of natural gas futures: a structural view
... Fabrizio Spargoli – Paolo Zagaglia Monetary Policy and Research Department Abstract This paper studies the co-movements between the daily returns of forwards on natural gas traded in the NYMEX with maturity of 1, 2 and 3 ...
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Inflation Dynamics in Indonesia: Equilibrium Correction and Forward-Looking Phillips Curve Approaches
... accordingly, inflation is forward-look- ing. Several studies disagree that for- ward-looking specification has the abil- ity to explain inflation. Rudd and Whelan (2001) find that the present value of expected ...
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Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
... We refer the reader to [3] for a more detailed analysis of the issue, and to [23] for calibration and valuation examples for the swaptions and cap/floor market. 4.2 Numerical Results We apply our framework to simple but ...
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Inflation Dynamics in Mexico: A Characterization Using the New Phillips Curve
... Keywords: Inflation dynamics, Phillips Curve. JEL Classification: E31 Resumen Este documento describe la din´ amica de la inflaci´ on en la econom´ıa mexicana de 1992 a 2006 utilizando el marco anal´ıtico ...
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Platts Forward Curve-Oil
... DFLs (Dated-to-Frontline): An active swaps market exists in trading the difference between Platts Dated Brent assessments and the ICE front line futures contract. This market, known as Dated to Frontline, has been ...
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The yield curve and macroeconomic dynamics
... the expected excess return from holding a long term nominal bond for one period compared to the return on a 1-period nominal bond – into a real risk premium component and an inflation [r] ...
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Usefulness of the Forward Curve in Forecasting Oil Prices
... 1. Trend of crude oil price and its forward curve Crude oil price 1 exceeded $70/bbl on 9th June 2009 for the first time in seven months and the price was $72.68/bbl on 11th June. The high price, which rose ...
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Usefulness of the Forward Curve in Forecasting Oil Prices
... 1. Trend of crude oil price and its forward curve Crude oil price 1 exceeded $70/bbl on 9th June 2009 for the first time in seven months and the price was $72.68/bbl on 11th June. The high price, which rose ...
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The Dynamics of Income Shares and the Wage Curve-Phillips Curve Controversy
... Extending the model of Blanchard and Katz (1997, 1999), models evidence from 18 OECD countries over half a century gives strong support for the Phillips curve and suggests that there is no macro evidence of the ...
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2 Forward Vehicle Dynamics
... Racecars always work at the maximum achievable acceleration to finish their race in minimum time. They are usually designed with rear-wheel- drive and all-wheel-brake. However, if an all-wheel-drive race car is reason- ...
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Dynamics of the Beveridge Curve and Global Crises
... Beveridge Curve which indicates an efficiency loss in the matching process between labor supply and ...the curve moved inwards as a result of the sub-prime crisis, a proof that supports an improvement in ...
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Real Wage Dynamics and the Phillips Curve
... specification based on the traditional ρ = 1 supply shocks and one based on the ρ = 0.83 supply shocks is tiny: The NAIRUs from the models estimated in Columns (2) and (3) of Table 2 are 6.22 percent and 6.21 percent, ...
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Learning Curve Forward Rate Agreements Anuk Teasdale
... are forward rate instruments and are priced using forward rate ...breakeven forward rate between the two periods, we simply solve for this forward rate and that is our approximate FRA ...
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Optimized Calculation of Hourly Price Forward Curve (HPFC)
... price forward curve (HPFC); the model will be constructed by numerous regression methods, like polynomial regression, radial basic function neural networks & a furrier ...
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