The purpose of this paper is to investigate the feasibility of a new futures contract for hedging wholesale transactions in the beef industry based on the USDA boxed beef cutout index (BBCO). The results suggest the live cattle futures contract is not an adequate tool to manage the price risk of...

Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor...

In this paper we study futures market depth by examining the price path due to order imbalances thereby allowing us to directly gain insight in the execution costs due to a lack of market depth We propose a two dimensional market depth measure in which the price path due to order imbalances is...