Irwin, Scott H.; Zulauf, Carl R.; Jackson, Thomas E. - In: American Journal of Agricultural Economics 78 (1996) 2, pp. 387-399
This study examines whether mean reversion is present in corn, soybean, wheat, live hog, and live cattle futures prices. Consistent with earlier studies, asymptotic regression results provide substantial evidence of mean reversion in commodity futures price movements. In sharp contrast, the...