This paper investigates whether the accuracy of outlook hog price forecasts can be improved using composite forecasts in an out-of-sample context. Price forecasts from four wellrecognized outlook programs are combined with futures-based forecasts, ARIMA, and unrestricted Vector Autoregressive...

The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized...

This study investigates the impact of six major USDA reports in hog and cattle markets: Cattle; Cattle on Feed; Cold Storage; Hogs and Pigs; Livestock, Dairy, and Poultry Outlook (LDPO); and World Agricultural Supply and Demand Estimates (WASDE). A TARCH-in-mean model, with dummy variables to measure...