Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N. - Department of Agricultural and Consumer Economics, … - 2009
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different … effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in … most of the cases compared to the volatility during the planting period. These results have implications for hedging …