One of the measures of future markets’ efficiency is its linkagewith the spot market. The objective of this paper is to verify the existenceof a statistical linkage between spot market and the Brazilian Mercantile& Future Exchange (BM&F) live cattle future market and between spotmarket and the...

This paper studies the applicability of time series models as a decision tool of buy and sell orders of live cattle futures contracts in the Brazilian Futures Market (BM&F), on dates close to expiration. The models considered are: ARIMA, Neural Networks and Dynamic Linear Models - DLM (this in...