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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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The impact of data frequency on market efficiency tests of commodity futures prices
Wu, Xuedong; Dorfman, Jeffrey H.; Karali, Berna - In: Journal of Futures Markets 38 (2018) 6, pp. 696-714
Persistent link: https://www.econbiz.de/10012082108
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Delivery horizon and grain market volatility
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N. - In: The journal of futures markets 30 (2010) 9, pp. 846-873
Persistent link: https://www.econbiz.de/10008900927
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Do volatility determinants vary across futures contracts? : insights from a smoothed bayesian estimator
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N. - In: The journal of futures markets 30 (2010) 3, pp. 257-277
Persistent link: https://www.econbiz.de/10003962516
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Discussion of volatility in agribusiness-oriented asset markets : peeking through a Bayesian window
Tobias, Justin L. - In: American journal of agricultural economics 93 (2011) 2, pp. 441-443
Persistent link: https://www.econbiz.de/10009374044
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Do farmers hedge optimally or by habit? : a Bayesian partial-adjustment model of farmer hedging
Dorfman, Jeffrey H.; Karali, Berna - In: Journal of agricultural and applied economics 42 (2010) 4, pp. 791-803
Persistent link: https://www.econbiz.de/10009375852
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A nonparametric search for information effects from USDA reports
Dorfman, Jeffrey H.; Karali, Berna - In: Journal of agricultural and resource economics : JARE ; … 40 (2015) 1, pp. 124-143
Persistent link: https://www.econbiz.de/10011417518
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The pattern of price linkages among commodities
Dorfman, Jeffrey H.; Karali, Berna - In: The journal of futures markets 34 (2014) 11, pp. 1062-1076
Persistent link: https://www.econbiz.de/10010508679
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The informational content of distant-delivery futures contracts
Schnake, Kristin N.; Karali, Berna; Dorfman, Jeffrey H. - In: Journal of agricultural and resource economics : JARE ; … 37 (2012) 2, pp. 213-227
Persistent link: https://www.econbiz.de/10009675253
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Delivery Horizon and Grain Market Volatility
Karali, Berna - 2012
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via a smoothed Bayesian estimator. We find that futures price volatilities in these markets are affected by inventories, time to delivery, and the crop progress...
Persistent link: https://www.econbiz.de/10013116856