This study investigates empirical methods of generating prediction intervals for WASDE forecasts of corn, soybean, and wheat prices over the 1980/81 through 2006/07 marketing years. Empirical methods use historical forecast errors to estimate forecast error distributions, which are then used to...

We study why widely used low-frequency liquidity cost estimators based on high, low, and close prices perform well in some markets and poorly in others, often yield negative or indeterminate estimates, and how to quantify estimation bias empirically. Using the high-low spread estimator as our...