Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series...

The distributional behavior for futures price spread changes is examined through parametric and nonparametric tests on four different commodities: corn and live cattle, and gold and T-bonds with two different sample sizes. Data are examined for selected periods, stable (1992) and unstable...

Theoretical noise trader models suggest that uninformed traders can impact market prices. However, these models' conclusions depend crucially on the assumed specification for noise trader demand. This research seeks to empirically determine the appropriate demand specification for uninformed...

Value-at-Risk, known as VaR, gives a prediction with a certain level of confidence of potential portfolio losses that may be encountered over a specified time period due to adverse price movements in the portfolio's assets. For example, a VaR of 1 million dollars at the 95% level of confidence...

Value-at-Risk, known as VaR, gives a prediction of potential portfolio losses, with a certain level of confidence, that may be encountered over a specified time period due to adverse price movements in the portfolio's assets. For example, a VaR of 1 million dollars at the 95% level of confidence...

The noise trader sentiment model of De Long, Shleifer, Summers, and Waldmann (1990a) is applied to futures markets. The theoretical results predict that overly optimistic (pessimistic) noise traders result in market prices that are greater (less) than fundamental value. Thus, returns can be...

Multiproduct optimal hedging is compared to alternative hedging strategies as applied to a Midwestern cattle feeder. One-period feeding margin hedge ratios are estimated using weekly cash and futures price data from a simulation of a custom feedlot for 1983-1995. Hedge ratios are estimated using...

Multiproduct optimal hedging for simulated cattle feeding is compared to alternative hedging strategies using weekly price data for 1983-95. Out-of-sample means and variances of hedged feeding margins using estimated hedge ratios for four commodities suggest that there is no consistent...

Empirical tests were made of components of the corn basis in the U.S. utilizing a general theory of intertemporal price relationships for storable commodities. These tests showed that the basis consists of a risk premium, a speculative component, and a maturity basis apart from other factors...