spot prices
Modelling Spot Prices in Deregulated Wholesale Electricity Markets: A Selected Empirical Review
... past, prices are now often characterized by high volatility (the variance of prices is very large), strong mean- reversion (prices tend to fluctuate around a long-term equilibrium), and abrupt and ...
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Modelling energy spot prices: Empirical evidence from NYMEX
... energy prices (see among others, Dixit and Pindyck, 1994; Schwartz, 1997; Clewlow and Strickland, 2000; Lucia and Schwartz, 2002; Cartea and Figueroa, 2005; Geman and Roncoroni, 2006; Cartea and Villaplana, 2008, ...
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A conditionally heteroskedastic model with time varying coefficients for daily gas spot prices
... A novel GARCH(1,1) model, with coefficients function of the realizations of an ex- ogenous process, is considered for the volatility of daily gas prices. A distinctive feature of the model is that it produces ...
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An empirical comparison of alternate regime switching models for electricity spot prices
... electricity spot prices Karakatsani and Bunn (2008) identified three regimes, with the third regime capturing the most extreme ...normal prices. Also, for many of the very low prices a ...
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Regime switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions
... the prices themselves; not the log-prices as in most other ...electricity spot prices: heteroscedasticity in the base regime and shifted spike regime ...
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Robust estimation and forecasting of the long term seasonal component of electricity spot prices
... forward prices include risk premia, which should somehow be separated from the spot price forecast for it to be ...electricity spot prices issued by the Australian Financial Market Association ...
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Estimation of the Semiparametric Factor Model: Application to Modelling Time Series of Electricity Spot Prices
... Estimation of the Semiparametric Factor Model: Application to Modelling Time Series of Electricity Spot Prices.. Liebl, Dominik University of Cologne..[r] ...
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Modeling electricity spot prices: Regime switching models with price capped spike distributions
... Our empirical study provides evidence that the introduction of a truncated (or price-capped) spike distribution not only is consistent with market regulations, but also can be useful for modeling extremely spiky ...
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Calibration of the exponential Ornstein–Uhlenbeck process when spot prices are visible through the maximum log likelihood method Example with gold prices
... that spot prices are not visible (mostly in inter- national commodity markets), Schwartz [27] decided to calibrate the model by relating the spot price with futures prices (which are visible) ...
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Modelling the behaviour of the spot prices of various types of coffee
... Vogelvang (1992) has investigated the existence of long-run relationships between the spot prices of the four main types of coffee discussed above, as originated from trade in the New York market. Using ...
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Modelling spot prices, risk management, and investment strategies for the energy markets
... In fact, when following the index-tracking methodology proposed in this thesis, the selected equity portfolios can actually get investors very close to their goal of replicating spot ene[r] ...
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An empirical study on relationship between future and spot price
... and spot prices from May 2015 to ...gold spot price is ...gold spot the maximum value during the period is and the minimum value is ...gold spot price of berastastistics, null ...
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The Analysis of Spot Price Stochasticity in Deregulated Wholesale Electricity Markets
... With these aims in mind, this thesis presents models incorporating aspects of both types of models, in the context of two different electricity markets. The New Zealand Electricity Market (NZEM) is a hydro-dominated ...
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Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
... ahead) spot price forecasting in auction-type electricity ...hourly spot prices and system-wide loads for California and a series of hourly spot prices and air tem- peratures for the ...
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Co-Integration of Agricultural Commodities Spot and Future Prices – An Evidence from India
... and spot markets and on how various introduction of financial instruments to minimize risks due to fluctuating market conditions ...and spot prices in order to identify the interdependence between ...
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The Empirical Analysis on Prices of the Malaysian Crude Palm oil Futures Market
... The potential uses of these findings are numerous. Hedgers may benefit from this information when deciding upon the appropriate futures contract to be used. They should be aware that any information about the supply ...
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Is Indian spot electricity price series stationary?
... Day-ahead spot electricity market of Indian energy exchange operates all 24 hours, 365 days a ...modeling spot electricity prices particularly in the context of NordPool, CalPx and PJM markets but ...
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When supply meets demand: the case of hourly spot electricity prices
... ways spot electricity models can be ...day-ahead spot prices and to forecast the probability of a ...of spot prices becomes interesting as ...hourly spot electricity ...hourly ...
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Relationship between Spot and Future Prices of Crude Oil: A Cointegration Analysis
... the spot prices in general are higher than futures prices as was well-known in the ...futures prices, in general, exceed spot ...which prices move toward ...oil spot and ...
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Econometric modeling for optimal hedging in commodity futures: An empirical study of soybean trading
... the spot prices and the change in price of the hedging ...the spot instrument and that of the hedging ...futures prices on the second conditional moments of the bivariate distribution of the ...
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