Spot-Forward Relationship for a Storable Commodity
Optimal Trading of a Storable Commodity via Forward Markets
... the spot at time š” 1 and delivering it at time š” 2 > š” 1 ...the spot physically, and short WTI futures at a higher price with a maturity of 3 to 5 weeks, during which the oil is transported from its origin ...
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Models for the price of a storable commodity
... The commodity spot price volatilities are strongly heteroskedastic (see Duffie and Gray, 1995 [30]) and closely reflect the supply, demand and inventory conditions in the market. In p[r] ...
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Essays on agricultural commodity spot and forward markets
... cointegrating relationship in the first period, there exists a cointegrating relationship in the second period, which shows the growing relationship between US and Brazilian live cattle in more ...
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The spot forward relationship in the Atlantic salmon market
... mon spot and forward prices up to a period of seven ...cointegration relationship disappears for con- tracts with maturities longer than 12 ...salmon forward price may not serve as a reliable ...
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The Effects of Futures Markets on the Spot Price Volatility of Storable Commodities
... prices, spot prices, and inventory levels we utilized VAR/VEC ...and spot prices have a long-run equilibrium relationship for all commodities except for the regional oil ...and spot price were ...
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Dynamic Financial Hedging Strategies for a Storable Commodity with Demand Uncertainty
... a storable commodity in a volatile commodity price ...a commodity spot market and an associated ļ¬nancial derivatives ...purchased commodity serves as a raw material which is then ...
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On the Relationship Between the Very Short Forward and the Spot Interest Rate
... penalties 22 are levied when it becomes clear that reserve requirements have not been met, and the financial institutionās account statement shows a deficit in the BOJās current account. As discussed previously, players ...
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Information and Price Response in Storable Commodity Futures Markets: An Application to Lumber Contracts
... of ending with delivery. The delivery months for lumber futures contracts are January, March, May, July, September, and November. The last trading day for any contract is the last business day prior to the sixteenth ...
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In Contango Versus Backwardation, the Truth May Not be in Convenience: Disequilibrium States and the Spot-Forward Balance in Commodity Markets
... The present contribution adds a further dimension to the discussion of the convenience yield, that of disequilibriu m dynamics. In a perfect world, the actions of agents with different motivations are reconciled with ...
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Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework
... the relationship between the spot and futures commodity ...the relationship, we use a nonlinear autoregres- sive distributed lag (NARDL) framework that considers the asymmetry and nonlinearity ...
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Commodity Futures And Spot Volatility: A Literature Review
... strong relationship between the two price series and it also provides preliminary evidence that both series respond similarly to changes in market ...the spot and futures is much higher for the ...
8
Do Commodity Futures Help Forecast Spot Prices?
... against spot markets? If we assume that current spot and futures prices incorporate the same information that is relevant for forecasting future spot prices, then futures prices should be at least as ...
26
Forward and Spot Exchange Rates in a Multi-Currency World
... average forward premium of all currencies against the US dollar is controlled for, there is little evidence of additional time-series variation in currency risk ...this relationship is only marginally ...
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Testing for speculative bubbles using spot and forward prices
... The relationship between Ļ and empirical power, however, is not always monotonic. Looking at the results for r = 0.1 and Ļ = {0.7, 0.9}, we observe cases where an increase in Ļ is associated with higher (although ...
58
Seasonality in cocoa spot and forward markets: empirical evidence
... the spot prices of agricultural and some energy commodities, naturally arising from seasonal patterns in supply (for example, harvest) and demand (for example, cold weather) is relatively well ...the ...
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OVER-THE-COUNTER FORWARD CONTRACTS AND SPOT PRICE VOLATILITY
... four spot routes for which FFA contracts have been introduced, it is possible that factors, other than the introduction of forward contracts, may affect the variables considered in each of the hypotheses ...
31
Modelling general dependence between commodity forward curves
... The concept of copula also nests the case of independence of the variables, which is described by the product copula Ī (u 1 , . . . , u d ) = u 1 Ā· . . . Ā· u d . Since Archimedean copulae are permutation symmetric, they ...
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Price Discovery and Volatility Spillovers in Indian Spot Futures Commodity Market
... the spot Nifty. Besides, the casual relationship test in the commodity market showed that gold futures price influenced the spot gold price, but the opposite was not ...NSE spot and ...
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Valuation of commodity derivatives when spot prices revert to a cyclical mean
... the commodity spot price, we are specifically interested in the spectral component which is not explained by the spot ...the relationship between spot and futures prices is not ...
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Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models ā
... of forward contracts; (ii) they lead to approximate, but explicit, closed form pricing equations for a wide class of contingent claims; and (iii) the re- sulting approximate prices are independent of the specific ...
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