The traditional necessary condition for futures market inefficiency is the existence of alternative forecasting methods that produce mean squared forecast errors smaller than the futures market. Here, a more exacting requirement for futures market efficiency is proposedforecast encompassing....

One-step-ahead forecasts of quarterly beef, pork, and poultry production are examined and evaluated based on traditional criteria for optimality-efficiency and unbiasedness-as well as their performance versus a univariate time-series model. However, traditional regression methodology for...

This research examines the potential basis behavior and hedging effectiveness for the Minneapolis Grain Exchange's (MGE's) cash settled corn contract. MGE futures cash settle to the National Corn Index (NCI) calculated by the Data Transmission Network (DTN). Focusing on seven regions in...

Decisions made by publicly traded agribusinesses impact suppliers, processors, farmers, and even rural communities. Professional analysts’ estimates of earnings per share (EPS) provide a unique source of information regarding firm-level financial performance. Incorporating a battery of tests,...

One-step-ahead forecasts of quarterly crude oil, natural gas, electricity, and coal supplies are evaluated under two general approaches: accuracy-based measures and classification- or directional-based measures. Results suggest the U.S. Department of Energy (DOE) supply forecasts for U.S....

This paper examines USDA one-step ahead forecasts of quarterly beef, pork, and poultry production. The forecasts are evaluated based on traditional criteria for optimality-efficiency and unbiasedness-as well as their performance versus an univariate time series model. The results suggest that...

This research presents an intuitive interpretation and expression for pricing cash settled futures contracts. In particular, the choice of the averaging period for the underlying cash index is evaluated. For example, the averaging period for the Lean Hog futures contract is two days, whereas it...

This research examines the forecasting performance of implied volatility derived from nearby live cattle options contracts in predicting 1-week volatility of nearby live cattle futures prices. Forecast evaluation is conducted from the perspective of an agribusiness risk manager. The methodology...

In traditional tests of forecast rationality, price forecasts are usually differenced to obtain stationarity. However, this data transformation may ignore important long-run information contained in forecasted price levels. Here, the concept of forecast consistency is paired with rationality...