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Stochastic convenience yield implied from commodity futures and interest rates
(BLACKWELL PUBLISHING, 2005)
We characterize a three-factor model of commodity spot prices, convenience yields, and interest rates, which nests many existing specifications. The model allows convenience yields to depend on spot prices and interest ...
A tale of two coffees? Analysing interaction and futures market efficiency
Purpose: The purpose of this paper is to assess the informational efficiency of Arabica (other milds) and Robusta coffee futures markets in terms of predicting future coffee spot prices. Design/methodology/approach: Futures ...
Re-examining the movements of crude oil spot and futures prices over time
We carry out a (partial) replication exercise of Chang and Lee (2015) unit root and cointegration analyses of crude oil spot and futures prices. In doing so, we offer an updated and expanded analysis based on a much wider ...
Modeling the electricity spot price with switching regime semi-nonparametric distributions
(Universidad EAFITEscuela de Economía y Finanzas, 2019-11-22)
Spot prices of electricity in liberalized markets feature seasonality, mean reversion, random
short-term jumps, skewness and highly kurtosis, as a result from the interaction between the
supply and demand and the physical ...
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