This paper examines the effect of the volatility of oil prices on food price in South Africa using monthly data covering the period 2002:01 to 2014:09. Food price is measured by the South African consumer price index for food while oil price is proxied by the Brent crude oil. The study employs the GARCH-in-mean VAR model, which allows the investigation of the effect of a negative and positive s...

Online auctions have become increasingly popular in recent years, and as a consequence there is a growing body of empirical research on this topic. Most of that research treats data from online auctions as crosssectional, and consequently ignores the changing dynamics that occur during an auction. In this article we take a different look at online auctions and propose to study an auction’s pric...

Abstract: Accurate forecasting of carbon price is important and fundamental for anticipating the changing trends of the energy market, and, thus, to provide a valid reference for establishing power industry policy. However, carbon price forecasting is complicated owing to the nonlinear and non-stationary characteristics of carbon prices. In this paper, a combined forecasting model based on vari...

The goal of this work is to derive models for forecasting the final price of ongoing online auctions. This forecasting task is important not only to the participants of an auction who compete against each other for the lowest price, but also to designers of bidder-side agents. Forecasting prices in online auctions is challenging from a statistical pointof-view because traditional forecasting mo...

Accurate and effective electricity price forecasting is critical to market participants in order to make an appropriate risk management in competitive electricity markets. Market participants rely on price forecasts to decide on their bidding strategies, allocate assets and plan facility investments. However, due to its time variant behavior and non-linear and non-stationary nature, electricity...

Electricity price forecasting is becoming more important in everyday business of power utilities. Good forecasting models can increase effectiveness of producers and buyers playing roles in electricity market. Price is also a very important element in investment planning process. This paper presents a forecasting technique to model day-ahead spot price using well known ARIMA model to analyze an...