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Modeling Sequential Extreme Price Risks in Agricultural Commodities

Park, Eunchun; Maples, Joshua G. - 2022

The paper develops a novel approach to account for serially dependent extreme price changes under the assumption that the tail distribution follows the generalized Pareto distribution (GPD). Our approach can 1) detect serial dependence of extreme price changes, and 2) can be applied when...

Persistent link: https://www.econbiz.de/10014077272

A relaxed lattice option pricing model : implied skewness and kurtosis

Ji, Dasheng; Brorsen, B. Wade - In: Agricultural finance review 69 (2009) 3, pp. 268-283

Persistent link: https://www.econbiz.de/10003919645

Optimal length of moving average to forecast futures basis

Hatchett, Robert B.; Brorsen, B. Wade; Anderson, Kim B. - In: Journal of agricultural and resource economics : JARE ; … 35 (2010) 1, pp. 18-33

Persistent link: https://www.econbiz.de/10003971393

Profit margin hedging

Kim, Hyun Seok; Brorsen, B. Wade; Anderson, Kim B. - In: American journal of agricultural economics 92 (2010) 3, pp. 638-653

Persistent link: https://www.econbiz.de/10009508349

Using basis, futures price, and futures price spread as barometers for storage decisions

Siaplay, Mounir; Adam, Brian D.; Brorsen, B. Wade; … - In: International journal of economics and finance 4 (2012) 5, pp. 15-24

Persistent link: https://www.econbiz.de/10009616430

Electronic vs. open outcry : side-by-side trading of KCBT wheat futures

Shah, Samarth; Brorsen, B. Wade - In: Journal of agricultural and resource economics : JARE ; … 36 (2011) 1, pp. 48-62

Persistent link: https://www.econbiz.de/10009231956

Why have the returns to technical analysis decreased?

Kidd, Willis V.; Brorsen, B. Wade - In: Journal of economics & business 56 (2004) 3, pp. 159-176

Persistent link: https://www.econbiz.de/10002084199

Marketing performance of Oklahoma farmers

Anderson, Kim B.; Brorsen, B. Wade - In: American journal of agricultural economics 87 (2005) 5, pp. 1265-1270

Persistent link: https://www.econbiz.de/10003270591

Can multiyear rollover hedging increase mean returns?

Yoon, Byung-Sam; Brorsen, B. Wade - In: Journal of agricultural and applied economics 37 (2005) 1, pp. 65-78

Persistent link: https://www.econbiz.de/10003080155

Market inversion in commodity futues prices

Yoon, Byung-sam; Brorsen, B. Wade - In: Journal of agricultural and applied economics 34 (2002) 3, pp. 459-476

Persistent link: https://www.econbiz.de/10001769472