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The relationship between spot and future cryptocurrencies : a VECM and GARCH approaches

Amamou, Souhir Amri; Ali, Balkissa Hassane - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664986

Modeling and forecasting intraday spot volatility

Clements, Adam; Preve, Daniel P. A. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668484

Unraveling COVID-19-induced volatility spillover : a study of the dynamic interplay between NIFTY 50 spot and options markets

Tokas, Nisha; Gahlot, Ruchika; Puri, Neha; Gupta, Himani; … - 2025

This study unravels the transmission of volatility spillovers between NIFTY 50 spot prices and the options market, addressing a significant gap in existing studies. It captures how market connectedness evolved during the pre-COVID, COVID and post-COVID periods, offering fresh insights into price...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015549125

Comparison of the interdependence relationship between crude oil futures and spot in China and international crude oil markets : evidence from time-frequency and quantile perspectives

Shi, Fengyuan; Deng, Yiwen; Guo, Yaoqi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015374477

Volatility analysis of the Indian stock market : insights from Bank Nifty Index and futures trading

Paientko, Tetiana; Pundir, Rashmi Ravindra Kumar - 2025

Objective To diagnose the relationship between futures contract trading and the volatility of stocks in the Bank Nifty Index. Methodology Time series analysis and the GARCH model are employed to study the interaction between futures trading and spot market volatility. Findings The analysis...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015417101

Bidding CHP portfolios consistently into sequential reserve and electricity spot markets

Beran, Philip; Furtwängler, Christian; Jahns, Christopher - 2025

The profitable exploitation of asset portfolios in the European electricity markets has become more challenging in recent years. This is particularly true for combined heat and power (CHP) generation units that are often facing must-run conditions due to heat demands that need to be satisfied....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408253

Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

Babalos, Vassilios; Bouri, Elie; Gupta, Rangan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015434140

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Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

Babalos, Vassilios; Bouri, Elie; Gupta, Rangan - 2024

Book / Working Paper

Does excess futures market demand affect the spot price of oil?

DeCoste, Joseph - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015608197

The cost of uncertainty : analysing the influence of coal price changes, the Russia-Ukraine war and geopolitical risk on risk premiums in the Indian electricity spot market

Siddiki, Jalal Uddin; Singh, Prakash - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015549458

The reaction of cryptocurrencies to the approval of spot Bitcoin and Ethereum ETFs : an intraday event study

Mehdian, Seyed M.; Gherghina, Ştefan Cristian; Stoica, … - 2025

This paper examines the market reaction to the approval of spot Bitcoin and Ethereum exchange-traded funds (ETFs), focusing on the return dynamics of a functionally diverse types of leading cryptocurrencies, including coins (BTC, BCH, LTC, XRP), smart contract platforms (ETH, ADA, AVAX), and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015551456

Salmon futures prices as forecasts

Bloznelis, Daumantas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015551592

Political uncertainty and cryptocurrency futures and spot market efficiency : evidence from the 2024 U.S. presidential election

Lee, Geesun - 2025

This study investigates the impact of the 2024 U.S. presidential election on the relationship between cryptocurrency futures and spot markets. Using a range of financial econometric techniques, we analyze daily returns of Bitcoin futures and spot markets from December 2017, to January 2025. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015625307

Interaction between equity futures and spot markets during COVID-19 pandemic : a multi-market analysis

Emenike, Kalu O. - 2025

Using ABA research design and daily indices from South Africa, Eurozone, Japan and the United States of America, this study evaluates the interaction between equity index futures and spot markets before; during and after the COVID-19 pandemic. The results show evidence of cointegration between...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015397325

Spillover effects between financial and physical copper markets

Capliez-Wahart, Romain - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015509226

Investigating empirical bidding curves in the electricity spot market : expected patterns vs anomalies?

De Blauwe, Jilles; Zhang, Xiaobing; Keles, Dogan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015616459

Are supply networks efficiently resilient?

Capponi, Agostino; Du, Chuan; Stiglitz, Joseph E. - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015054055

Volatility spillover across spot and futures markets : evidence from dual financial system

Elsayed, Ahmed; Asutay, Mehmet; Alaoui, Abdelkader O. el; … - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015062170

An examination of human fast and frugal heuristic decisions for truckload spot pricing

Haughton, Michael; Amini, Alireza - 2024

Background: One of several logistics contexts in which pricing decisions are made involves truckload carriers using reverse auctions to bid for prices they want for their transportation services while operating under uncertainty about factors such as their (i) operations costs and (ii) rivals'...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015081056

Asymmetric spot-futures prices adjustments in Quebec grain markets

Singbo, Alphonse; Sossou, Dislène - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015121072

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Asymmetric spot‐futures prices adjustments in Quebec grain markets

Singbo, Alphonse G.; Sossou, Dislène Senan - 2023

Book / Working Paper

A comparative study of factor models for different periods of the electricity spot price market

Laudagé, Christian; Aichinger, Florian; Desmettre, Sascha - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015162606

Investor sentiment, unexpected inflation, and Bitcoin basis risk

Conlon, Thomas; Corbet, Shaen; Oxley, Les - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015110733

Has real time spot electricity market in India impacted day-ahead spot electricity market?

Saran, Rashmita; Supra, Bharath; Girish G P; Singh, Sweta - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015116736

Nonlinear price transmission and asynchronous price bubbles : empirical evidence from China's agricultural futures and spot markets

Mao, Qianqian; Ren, Yanjun; Loy, Jens-Peter - 2024

Previous studies on commodity price bubbles mainly focused on futures markets and ignored the performance of spot markets. Using the price data for corn and soybeans in China, this study identifies the exact bubble dates for the futures and spot markets, and finds asynchronous price bubbles...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015195789

Advancements in soybean price forecasting : impact of AI and critical research gaps in global markets

Mello, Fernando Dupin da Cunha; Kumar, Prashant; … - 2024

Soybeans, a vital source of protein for animal feed and an essential industrial raw material, are the most traded agricultural commodity worldwide. Accurate price forecasting is crucial for maintaining a resilient global food supply chain and has significant implications for agricultural...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197816

Foreign exchange futures trading and spot market volatility in Thailand

Woradee Jongadsayakul - 2024

This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity, including trading volume and open interest in the Thailand...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014637194

Volatility spillovers and carbon price in the Nordic wholesale electricity markets

Lyu, Chenyan; Do, Hung Xuan; Nepal, Rabindra; Jamasb, Tooraj - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015047008

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Volatility spillovers and carbon price in the Nordic wholesale electricity markets

Lyu, Chenyan; Do, Hung Xuan; Nepal, Rabindra; Jamasb, Tooraj - 2023

Book / Working Paper

Volatility spillovers and carbon price in the Nordic wholesale electricity markets

Lyu, Chenyan; Do, Hung Xuan; Nepal, Rabindra; Jamasb, Tooraj - 2023

Book / Working Paper

Long-term contracts and efficiency in the liquefied natural gas industry

Zahur, Nahim Bin - 2024

In many capital-intensive markets, sellers sign long-term contracts with buyers before committing to sunk cost investments. Ex-ante contracts mitigate the risk of under-investment arising from ex-post bargaining. However, contractual rigidities reduce the ability of firms to respond flexibly to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015048743

Autopsy of a futures market failure : Japan's Dojima rice futures in the early 21st century

Yamamoto, Shuhei; Janzen, Joseph P.; Serra, Teresa - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559279

Co-movement between NIFTY spot and futures indices : a time-frequency analysis using wavelet

Katoch, Rupinder; Batra, Shilpa - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015637363

Frequency markets and the problem of pre-dictability

Hameed, Zeenat; Pollitt, Michael G.; Kat-tuman, Paul; … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013530836

HFTs and dealer banks : liquidity and price discovery in fx trading

Huang, Wenqian; O'Neill, Peter; Ranaldo, Angelo; Yu, Shihao - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014234530

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HFTs and Dealer Banks : Liquidity and Price Discovery in FX Trading

Huang, Wenqian; O'Neill, Peter; Ranaldo, Angelo; Yu, Shihao - 2023

Book / Working Paper

Empirical Analysis of the Impact on the Nifty Index Spot Price after the Introduction of the Weekly Option for Nifty Index -Nse/India

SUNDARAM, MANIMARAN; venkatraman, ramesh - 2023

Emerging Indian stock market volatility pattern tested for an event of the introduction of weekly option on 19th February 2019.Primary investigation confirms that the need of GARCH models for further investigation. The TGARCH methodology has been adopted. The ARCH and GARCH parameters confirm...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014256733

The Impact of Bitcoin Futures Introduction on Spot Price Crash Risk

Pan, Ningning; Zhang, Chuanhai - 2023

This paper examines the impact of futures introduction on Bitcoin price crash risk. Using the difference-in-difference (DID) approach, we find that the crash risk of Bitcoin, proxied by negative coefficient of skewness (NCSKEW) and down-to-up volatility (DUVOL) of the five-minute intra-daily...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014257732

Beyond the Mean : Examining Electricity Spot Price Distribution in Australia

Mwampashi, Muthe Mathias; Sklibosios Nikitopoulos, Christina - 2023

We extend beyond conventional mean-to-mean effects to examine how fundamental variables impact the entire distribution of electricity spot prices in the Australian National Electricity Market. Employing quantile regression models, we demonstrate that variable renewable energy (VRE) generation...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014349161

Examining Bitcoin Price Volatility Transmission between Spot and Futures Markets

Apostolakis, George - 2023

This paper examines volatility transmission between the spot and futures bitcoin markets. We use daily series over a sampling period that spans from December 2017 to September 2022. We examine several events that spread severe risk in cryptomarkets, such as the COVID-19 pandemic in 2020,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014351390

Funding constraints, financial crisis, and price discovery between the futures and spot markets

Chen, Yi-Wen; Chiu, Junmao; Chou, Robin K.; Lin, Chu-Bin - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015141975

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Funding Constraints, Financial Crisis, and Price Discovery between the Futures and Spot Markets

Chen, Yi-Wen; Chiu, Junmao; Chou, Robin K.; Lin, Chu-Bin - 2023

Book / Working Paper

Hybridising neurofuzzy model the seasonal autoregressive models for electricity price forecasting on Germany's spot market

Paraschiv, Dorel Mihai; Bălășoiu, Narciz; Ben Amor, … - 2023

Electricity price forecasting has become an area of increasing relevance in recent years. Despite the growing interest in predictive algorithms, the challenges are difficult to overcome given the restricted access to relevant data series and the lack of accurate metrics. Multiple models have...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014464238

Supply chain decisions and coordination in the presence of an imperfect spot market

Xu, Jinpeng; Feng, Gengzhong; Chin, Kwai Sang; Jiang, Wei - 2023

This study considers a supply chain consisting of a commodity supplier and a final product manufacturer with uncertain demand. In addition to purchasing from the supplier through a forward contract, the manufacturer can adjust their inventory by trading the commodity in an online spot market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014315806

A GARCH model to understand the volatility of the electricity spot price in Brazil

Leite, André Luis da Silva; Lima, Marcus Vinicius … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014380829

Challenges for the Volatility Forecasts of the US Fossil Energy Spot Markets Under the COVID-19 Crisis

Li, Zepei; Huang, Haizhen - 2023

The outbreak of the Covid-19 pandemic has led to a slowdown in the world’s energy trade and changes in the use of energy resources. Meanwhile, global conditions are confused and can affect fossil energy spot markets, including crude oil, gasoline, heating oil, and natural gas. In this paper,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014264286