Search Results - subject:"Spot price"

Comparative Analysis of Discovery Function of Cotton Future Price among Different Regions - a Case Study of Xinjian

Li, Cheng-you; Yang, Hong; Liu, Chun-yu - In: Asian Agricultural Research 03 (2011) 08

Through comparative analysis, we research the relationship between cotton future price and cotton spot price in … software, to empirically study the relationship between the cotton future price and cotton spot price in Xinjiang, the … relationship between the cotton future price and cotton spot price in China. The results show that there is a long …

Persistent link: https://www.econbiz.de/10009653701

Efficient estimation of Markov regime-switching models: An application to electricity spot prices

Janczura, Joanna; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2011

spot price dynamics. …

Persistent link: https://www.econbiz.de/10009323907

Will Natural Gas Prices Decouple From Oil Prices Across the Pond?

International Monetary Fund (IMF); International … - 2011

We show that US natural gas prices have decoupled from oil prices following substantial institutional and technological changes. We then examine how this interrelationship has evolved in Europe using data for Algeria, one of Europeâ€™s key gas suppliers. Taking into account total gas...

Persistent link: https://www.econbiz.de/10009151207

A Barrel of Oil or a Bottle of Wine; How Do Global Growth Dynamics Affect Commodity Prices?

Sedik, Tahsin Saadi; Cevik, Serhan - International Monetary Fund (IMF) - 2011

This paper investigates the causes of extreme fluctuations in commodity prices from 1990 to 2010. Analyzing two very distinct commodities-crude oil and fine wine, we find that macroeconomic factors are the main determinants of commodity prices. Although supply constraints have the expected...

Persistent link: https://www.econbiz.de/10008839357

On the importance of the long-term seasonal component in day-ahead electricity price forecasting

Nowotarski, Jakub; Weron, Rafał - In: Energy economics 57 (2016), pp. 228-235

Persistent link: https://www.econbiz.de/10011698464

Does the S&P500 index lead the crude oil dynamics? : a complexity-based approach

Kyrtsou, Catherine; Mikropoulou, Christina; Papana, Angeliki - In: Energy economics 56 (2016), pp. 239-246

Persistent link: https://www.econbiz.de/10011664236

Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging

Maciejowska, Katarzyna; Nowotarski, Jakub; Weron, Rafał - In: International journal of forecasting 32 (2016) 3, pp. 957-965

Persistent link: https://www.econbiz.de/10011621909

A hybrid model for GEFCom2014 probabilistic electricity price forecasting

Maciejowska, Katarzyna; Nowotarski, Jakub - In: International journal of forecasting 32 (2016) 3, pp. 1051-1056

Persistent link: https://www.econbiz.de/10011621992

An empirical comparison of alternate regime-switching models or electricity spot prices

Janczura, Joanna; Weron, Rafal - Volkswirtschaftliche Fakultät, … - 2010

One of the most profound features of electricity spot prices are the price spikes. Markov regime-switching (MRS) models seem to be a natural candidate for modeling this spiky behavior. However, in the studies published so far, the goodness-of-fit of the proposed models has not been a major...

Persistent link: https://www.econbiz.de/10008595622

Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices

Weron, Rafal; Janczura, Joanna - Volkswirtschaftliche Fakultät, … - 2010

In this paper we discuss the calibration issues of models built on mean-reverting processes combined with Markov switching. Due to the unobservable switching mechanism, estimation of Markov regime-switching (MRS) models requires inferring not only the model parameters but also the state process...

Persistent link: https://www.econbiz.de/10008694003