Koekebakker, Steen; Lien, Gudbrand - In: American Journal of Agricultural Economics 86 (2004) 4, pp. 1018-1031
Evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and unexpected price jumps. There is also evidence that the volatility of futures prices is time-dependent both as a function of calendar-time (seasonal effect) and time to maturity...
