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Miroslava Zavadska, Lucía Morales and Joseph Coughlan
Crude oil is the dominant energy resource worldwide. The focus of this paper is on its historical behaviour and subsequent implications for the global economy with an emphasis on the lead?lag relationship between spot and future prices. The paper examine...
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Miroslava Zavadska, Lucía Morales and Joseph Coughlan
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Derick D. Quintino, Sergio A. David and Carlos E. de F. Vian
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Derick D. Quintino, Sergio A. David and Carlos E. de F. Vian
In this work, an investigation and analysis are carried out in order to observe the relationship between ethanol spot and futures prices in Brazil. We adopted the Engle and Granger co-integration approach. Also, we consider the information share method p...
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Josué M. Polanco-Martínez and Luis M. Abadie
The West Texas Intermediate (WTI) spot price shows high volatility and in 2014 and 2015 when quoted prices declined sharply, long-term prices in future markets were less volatile. These prices are different and diverge depending on how they process funda...
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Fabio L. Mattos and Rodrigo Lanna Franco da Silveira
The purpose of this study is to analyze the impact of the growth of the Brazilian winter corn crop on the dynamics between domestic Brazilian prices and international prices as well as spot and futures prices in Brazil. Econometric time-series methods te...
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Saâd Benbachir,Sihame Lembarki
Pág. 103 - 114
The drop in the price of crude oil in 2014 left no one indifferent, and motivated several researchers to analyse the nature of the relationship between the physical and the financial market of this commodity. This article discusses the issue of Spot and ...
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M. J. Page
AbstractThere are two principal theories of commodity futures prices. The theory of storage, which explains the difference between contemporaneous futures and spot prices (the basis) in terms of interest rates, warehousing costs, and convenience yields, ...
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M. J. Page
AbstractThere are two principal theories of commodity futures prices. The theory of storage, which explains the difference between contemporaneous futures and spot prices (the basis) in terms of interest rates, warehousing costs, and convenience yields, ...
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Jaehwan Park and Byungkwon Lim
This paper explores the market efficiency of the six base metals traded on the LME (London Metal Exchange) using daily data from January 2000 to June 2016. The hypothesis that futures prices 3M (3-month) are unbiased predictors of spot prices (cash) in t...
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Chia-Lin Chang, Michael McAleer and Chien-Hsun Wang
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analysed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other?s subsequent volatilit...
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Julien Chevallier, Dominique Guégan and Stéphane Goutte
This paper focuses on forecasting the price of Bitcoin, motivated by its market growth and the recent interest of market participants and academics. We deploy six machine learning algorithms (e.g., Artificial Neural Network, Support Vector Machine, Rando...
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Anna Szczepanska-Przekota
Mutual interactions between the agricultural commodities futures market and the spot market are some of the most important relationships that can be observed between the financial market and the real economy. The process of the flow of price impulses bet...
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Congxin Wu, Xinyu Wang, Shan Luo, Jing Shan and Feng Wang
This article takes into account the form of mixed data as well as the peak and thick tail characteristics contained in the data characteristics, expands the GARCH-MIDAS (Generalized Autoregressive Conditional Heteroskedasticity-Mixed Data Sampling) model...
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