A dynamic model of daily cash and futures prices for cotton was developed using time series analysis. The time series model was included in a recursive Monte Carlo simulation model. Validation of the model was performed with a stochastic, dynamic simulation of the estimated model over the...

The effects on marketing margins and Texas what producers of shifting from a period with stable prices to a period without stable prices were investigated using both econometric and simulation techniques. Empirical evidence reveals wheat export firms are risk averse and that either futures...

The dynamic relationship between daily cash and futures prices is investigated using time series analysis. The procedure involves causality tests between the two price series. The results show that futures price movements lead cash prices, implying that prices are discovered in the futures market.