This study investigates the extent to which predicted electricity spot prices from a statistical model, along with consensus forecasts issued by the Australian Financial Market Association (AFMA), provide unbiased price estimates of a forward contract price over a specified time to expiration....

Cyclical asymmetry has been recognized as a non-linear phenomenon in recent studies examining unemployment rate time series. The probabilistic structure of such time series is different during economic upswings and downswings. So, with forecasting unemployment rates in mind, it seems intuitive...

In order to explain the incidence of Granger causality between indices from the futures and the underlying cash market, as reported by numerous empirical studies in the literature, it is important to account for mean and volatility (second-order) persistence effects in the data. Further, there...