This paper investigates the dynamics of sequential decision-making in agricultural futures andoptions markets using a quantile regression framework. Analysis of trading records of 12 traderssuggests that there is great heterogeneity in individual trading behavior. Traders responddifferently to...

This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets using a quantile regression framework. Analysis of trading records of 12 traders suggests that there is great heterogeneity in individual trading behavior. Traders respond differently...

This analysis examines a simultaneous estimation option-based approach to forecast futures prices in the presence of daily price limit moves. The procedure explicitly allows for changing implied volatilities by estimating the implied futures price and the implied volatility simultaneously. Using...

The exercise of market power across multiple geographic fed cattle markets is measured with an econometric model which links behavior of the margin between boxed beef and regional fed cattle prices to an oligopsony model of multiple-market conduct. The game theoretic economic model suggests that...

We combine theory with numerical integration methods to show that for any form of uncompensated supply, compensating variation of a change in higher moments of an output price distribution can be numerically derived.

The analysis examines quantitatively the findings of previous studies of the pricing efficiency of various agricultural markets using a logit framework. The findings provide insight into the importance of commodity characteristics, uncertainty, and testing procedures used on the results of past...

The lack of consistently acceptable convergence performance for Chicago Board of Trade (CBOT) corn, soybean, and wheat contracts since late 2005 has been widely discussed (e.g., Henriques, 2008).1 Convergence performance is summarized in Figure 1, depicting delivery location basis levels on the...

Corn prices experienced enormous volatility over the last decade. In this paper, we apply a structural vector autoregression model to quantify the relative importance of various contributing factors in driving corn price movements. The identification of the structural parameters is achieved...

The forecasting performance of various multivariate as well as univariate ARIMA models is evaluated in the presence of nonstationarity. The results indicate the importance of identifying the characteristics of the time series by testing for types of nonstationarity. Procedures that permit model...

The informational content in live cattle and hog deferred futures prices is assessed using a direct test of incremental forecast ability for two- to twelve-month horizons. For 1976-2007, the results indicate that hog futures prices add incremental information at all horizons, but unique...