a threshold cointegration approach that is in accordance with the law of one price and explicitly accounts for … significant regional price arbitrage. However, high threshold estimates in the latter period indicate impediments to arbitrage …

that hedging effectiveness is much higher when the seasonal pattern in spot price changes is approximated with lagged … values of the basis (futures price minus spot price). This fact remain true for short (a week) and long (one, three and six … months) hedging periods. Furthermore, volatility of weekly price changes also has a seasonal pattern and is higher in winter …

price formation and arbitrage efficiency between spot and futures markets. Econometric approaches are specified that … that price discovery takes place on the futures market, while the spot price subsequently follows the futures market price …