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Components of Grain Futures Price Volatility
Karali, Berna - 2012
We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, we implement a generalized least squares method that allows us to clearly distinguish among time-to-delivery...
Persistent link: https://www.econbiz.de/10013116960
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Optimal Commodity and Cross-Currency Heding : The Case of Asean-5-Based Grain and Soft Commodity Traders
Vidiapratama, Banyu - 2013
The changes in commodity prices and exchange rates leave the representative ASEAN-5-based international commodity traders exposed with multiple risks. Foreign exchange hedging ratios are simultaneously estimated alongside commodity ratios in a time-varying portfolio framework. The comparisons of...
Persistent link: https://www.econbiz.de/10013092653
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Price explosiveness, speculation, and grain futures prices
Etienne, Xiaoli L.; Irwin, Scott H.; García, Philip - In: American journal of agricultural economics 97 (2015) 1, pp. 65-87
Persistent link: https://www.econbiz.de/10011294281
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Hedging in grain futures
Mehl, Joseph Martin - 1931
Persistent link: https://www.econbiz.de/10000317200
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Agricultural commodity markets in the wake of the black sea grain initiative
Goyal, Raghav; Steinbach, Sandro - In: Economics letters 231 (2023), pp. 1-6
Persistent link: https://www.econbiz.de/10014461237
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Agricultural commodity market response to Russia's withdrawal from the grain deal
Steinbach, Sandro; Yıldırım, Yasin - In: Journal of agricultural economics : JAE 75 (2024) 3, pp. 1004-1016
Persistent link: https://www.econbiz.de/10015049181
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Uncover the response of the US grain commodity market on El Niño-Southern Oscillation
Su, Yuandong; Liang, Chao; Zhang, Li; Zeng, Qing - In: International review of economics & finance : IREF 81 (2022), pp. 98-112
Persistent link: https://www.econbiz.de/10013343509
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Grain futures market response to the Black Sea Grain Initiative
Steinbach, Sandro; Yıldırım, Yasin - In: German journal of agricultural economics : GJAE 73 (2024) 2, pp. 1-22
This paper assesses the impact of the Black Sea Grain Initiative on the grain futures market. We rely on counterfactual … responded to the Grain Deal enforcement, renewals, and termination. Our event study estimates reveal that market participants … anticipated the impact of the Black Sea Grain Initiative. This anticipation is evident from the declining trend in grain futures …
Persistent link: https://www.econbiz.de/10015080960
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Returns in commodities futures markets and financial speculation: a multivariate GARCH approach
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...
Persistent link: https://www.econbiz.de/10010343837
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Returns in commodities futures markets and financial speculation : a multivariate GARCH approach
Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2012
This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that...
Persistent link: https://www.econbiz.de/10009535531