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Pricing Options on Commodity Futures: The Role of Weather and Storage
Bozic, Marin; Fortenbery, T. Randall - 2011
Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more...
Persistent link: https://www.econbiz.de/10009444328
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The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression
Mattos, Fabio; Garcia, Philip - 2009
This paper investigates the dynamics of sequential decision-making in agricultural futures andoptions markets using a quantile regression framework. Analysis of trading records of 12 traderssuggests that there is great heterogeneity in individual trading behavior. Traders responddifferently to...
Persistent link: https://www.econbiz.de/10009446385
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Does Futures Price Volatility Differ Across Delivery Horizon?
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N. - 2009
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oatsfutures prices across different delivery horizons via the smoothed Bayesian estimatorof Karali, Dorfman, and Thurman (2010). We show that the futures price volatilitiesin these markets are affected by the...
Persistent link: https://www.econbiz.de/10009446386
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Grain Futures Markets: What Have They Learned?
Santos, Joseph M. - 2009
Taken together, studies that examine how well commodity futures marketsperform find that risk premiums are common—and so unbiasedness is not—and marketsare not uniformly efficient across commodities or forecast horizons. This large body ofresearch sheds important light on whether and to what...
Persistent link: https://www.econbiz.de/10009446390
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The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators
Dahlgran, Roger A. - 2009
Hedging effectiveness is the proportion of price risk removed through hedging. Empiricalhedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedgingeffectiveness statistic, apply the estimated hedge ratios to a second group of data, and examinethe robustness of...
Persistent link: https://www.econbiz.de/10009446391
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Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage
Power, Gabriel J.; Robinson, John R.C. - 2009
The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been asource of hardship for traditional commodity market participants such as producers andmerchant/shippers. The usefulness of futures markets has been called into question, especiallygiven that some market...
Persistent link: https://www.econbiz.de/10009446392
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Optimal Length of Moving Average to Forecast Futures Basis
Hatchett, Robert B.; Brorsen, B. Wade; Anderson, Kim B. - 2009
Futures prices when combined with a basis forecast provide a reliable way to forecast cashprices. The most popular method of forecasting basis is historical moving averages. Given therecent failure of longer moving averages proposed by previous studies, this research reassessespast...
Persistent link: https://www.econbiz.de/10009446394
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A Speculative Bubble in Commodity Futures Prices? Cross-Sectional Evidence
Sanders, Dwight R.; Irwin, Scott H.; Merrin, Robert P. - 2009
Recent accusations against speculators in general and long-only commodity index funds inparticular, include: increasing market volatility, distorting historical price relationships, andfueling a rapid increase and decrease in commodity inflation. Some researchers have argued thatthese market...
Persistent link: https://www.econbiz.de/10009446395
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Cover and Contents Pages
2009
Includes cover page, journal info, contents page, and editorial information
Persistent link: https://www.econbiz.de/10009446503
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Determining the Nature of Dependency between Agribusiness and Non-Agribusiness Stocks
D'Antoni, Jeremy M.; Detre, Joshua D. - Southern Agricultural Economics Association - SAEA - 2013
farmland via an index of agribusiness stocks provides significant diversification benefits. We estimated the dependence between … daily returns of the S&P 500 and an index of agribusiness stocks from 1970 through 2008 using copulas. We find significant … evidence that agribusiness stocks have strong lower tail dependence with large U.S. stocks and are actually less correlated in …
Persistent link: https://www.econbiz.de/10010915036