This paper investigates the effect of information flow on corn futures price variability for the period January 2004 -July 2011. The theoretical framework is the Mixture Distribution Hypothesis, that posits a joint dependence of return volatility and information. The main contribution of this...

This paper investigates the long-run relationship between spot and futures prices for corn and soybeans, for the period January 2004 -September 2010. We apply cointegration methodology in the presence of potentially unknown structural breaks in the commodities prices and we then study the...