Data/hora: 03/06/2024 04:32:58

Provedor de dados: 	31	
País: 	United States	
Título: 	Components of Grain Futures Price Volatility	
Autores: 	Karali,   Berna; Thurman,   Walter N.	
Data: 	2010-08-17	
Ano: 	2010	
Palavras-chave: 	Futures markets; Samuelson effect; Seasonality; Time to maturity; Volatility; Crop Production/Industries; Risk and Uncertainty.	
Resumo: 	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, a generalized least squares method is implemented that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing prior to harvest times— an indirect confirmation of the theory of storage.	
Tipo: 	Journal Article	
Idioma: 	Inglês	
Identificador: 	http://purl.umn.edu/93205	
Relação: 	Journal of Agricultural and Resource Economics&gt;Volume 35, Number 2, August 2010	
Formato: 	16