Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J. - In: American Journal of Agricultural Economics 89 (2007) 1, pp. 1-11
Using a flexible method, we develop the term structure of volatility implied by corn futures options with differing maturities, and evaluate its ability to predict subsequent realized price volatility. The implied forward volatilities anticipate realized volatility well. For the nearby interval,...