This article tests whether the volatility of agricultural futures prices exhibits fractional integration. Volatility series were constructed for fourteen agricultural futures price series with over 5,300 observations per series. The volatility series exhibit strong long-term dependence, which is...

Hedging strategies typically assume that hedging is costless and that only one futures market exists. When these assumptions are dropped, the demand for hedging is shown to depend on basis risk, price risk, and the hedger's risk preference. The marginal and incremental value of hedging...

A recently proposed explanation for futures price backwardation is examined. An equilibrium model with spatial heterogeneity leads to the interpretation of backwardations as mismeasurement by the analyst. However, the model predicts that backwardations are more affected by the location of stocks...

U.S. and Brazilian soybeans are harvested on an alternating semiannual cycle that generates predictable dynamic behavior in the soybean futures market. Because corn and soybeans are storage substitutes, their physical storage costs move together and can be isolated separately from crop-specific...