scholarly journals Analysing volatility spillovers between grain and freight markets

Pomorstvo ◽  
2020 ◽  
Vol 34 (2) ◽  
pp. 428-437
Author(s):  
Totakura Bangar Raju ◽  
Ayush Bavise ◽  
Pradeep Chauhan ◽  
Bhavana Venkata Ramalingeswar Rao
Keyword(s):  
Supply And Demand ◽  
Conditional Heteroskedasticity ◽  
Conditional Correlation ◽  
Market Prices ◽  
Volatility Spillovers ◽  
Market Index ◽  
Research Article ◽  
Autoregressive Conditional Heteroskedasticity ◽  
The Subject ◽  
Freight Market

The International Grain Council (IGC) circulates two price indices which are the Grain and Oilseeds Index (GOI) and the Grain and Oilseeds Freight Market Index (GOFI). These two indices indicate the respective market prices. The GOI markets are affected by various factors like supply and demand, weather, freight markets, etc. This research article attempts to explore and analyse volatility in GOI and GOFI markets using various GARCH family models, that is Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) analysis. The multivariate Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity model (DCC GARCH) is used to find the spillovers between the two markets and thereby explore the effect of GOFI on GOI markets from the year 2013. The research article consists of four sections after introducing the subject namely a literature review, research methodology and models, analysis and conclusions of the study.

Solar Renewable Energy Credit Price Volatility and Investment Returns: Have Policies Stranded Capital Investment?

Commonwealth ◽  
2017 ◽  
Vol 19 (1) ◽  
Author(s):  
Somayeh Youssefi ◽  
Patrick L. Gurian
Keyword(s):  
Solar Energy ◽  
Capital Investment ◽  
Supply And Demand ◽  
Price Volatility ◽  
The United States ◽  
Investment Model ◽  
Capital Investments ◽  
Demand Model ◽  
Market Prices ◽  
Investment Returns

Pennsylvania is one of a number of U.S. states that provide incentives for the generation of electricity by solar energy through Solar Renewal Energy Credits (SRECs). This article develops a return on investment model for solar energy generation in the PJM (mid-­Atlantic) region of the United States. Model results indicate that SREC values of roughly $150 are needed for residential scale systems to break even over a 25-­year project period at 3% interest. Market prices for SRECs in Pennsylvania have been well below this range from late 2011 through the first half of 2016, indicating that previous capital investments in solar generation have been stranded as a result of steep declines in the value of SRECs. A simple conceptual supply and demand model is developed to explain the sharp decline in market prices for SRECs. Also discussed is a possible policy remedy that would add unsold SRECs in a given year to the SREC quota for the subsequent year.

scholarly journals Has COVID-19 Changed the Hedge Effectiveness of Bitcoin?

2021 ◽  
Vol 9 ◽  
Author(s):  
Yinpeng Zhang ◽  
Panpan Zhu ◽  
Yingying Xu
Keyword(s):  
Futures Markets ◽  
Vector Autoregression ◽  
Spot Market ◽  
Futures Market ◽  
Conditional Heteroskedasticity ◽  
Volatility Spillover ◽  
Empirical Results ◽  
Dynamic Correlation ◽  
Autoregressive Conditional Heteroskedasticity ◽  
Gold Futures

The Bitcoin market has become a research hotspot after the outbreak of Covid-19. In this paper, we focus on the relationships between the Bitcoin spot and futures. Specifically, we adopt the vector autoregression-dynamic correlation coefficient-generalized autoregressive conditional heteroskedasticity (VAR-DCC-GARCH) model and vector autoregression-Baba, Engle, Kraft, and Kroner-generalized autoregressive conditional heteroskedasticity (VAR-BEKK-GARCH) models and calculate the hedging effectiveness (HE) value to investigate the dynamic correlation and volatility spillover and assess the risk reduction of the Bitcoin futures to spot. The empirical results show that the Bitcoin spot and futures markets are highly connected; second, there exists a bi-directional volatility spillover between the spot and futures market; third, the HE value is equal to 0.6446, which indicates that Bitcoin futures can indeed hedge the risks in the Bitcoin spot market. Furthermore, we update the data to the post-Covid-19 period to do the robustness checks. The results do not change our conclusion that Bitcoin futures can hedge the risks in the Bitcoin spot market, and besides, the post-Covid-19 results indicate that the hedging ability of Bitcoin futures increased. Finally, we test whether the gold futures can be used as a Bitcoin spot market hedge, and we further control other cryptocurrencies to illustrate the hedging ability of the Bitcoin futures to the Bitcoin spot. Overall, the empirical results in this paper will surely benefit the related investors in the Bitcoin market.

scholarly journals REGION BRAND: MARKETING FACTORS OF FORMATION ATTRACTIVE IMAGE

2018 ◽  
pp. 9-12
Author(s):  
O. E. Sergeeva ◽  
E. N. Lazareva
Keyword(s):  
Efficient Market ◽  
Economic Entity ◽  
Research Article ◽  
Brand Marketing ◽  
The Subject ◽  
A Priority ◽  
Market Success

The formation of a territory brand determines a positive competitive image of the region as a new economic entity and is based on attracting efficient market tools, where marketing is a priority means. The object of the research article is the brand of the region, the territory, the commercialization of which becomes the key to market success. The subject of the research is factor bases forming an attractive image of the region.

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