Data/hora: 13/06/2024 00:38:39

Provedor de dados: | 31
País: | United States
Título: | Forecasting Livestock Feed Cost Risks Using Futures and Options
Autores: | Chen,   Gang; Roberts,   Matthew C.; Roe,   Brian E.
Data: | 2005-11-02
Ano: | 2005
Palavras-chave: | Livestock Production/Industries; Marketing.
Resumo: | The costs of corn- and soybean-based feeds compose a substantial proportion of the variable costs faced by both mainstream and emergent confined livestock producers. This research develops a method to provide a joint distribution of prices of corn and soybean meal at a future time. Black's 1976 option model and stochastic volatility jump diffusion (SVJD) model are compared in volatility forecasting performance. In general, SVJD is superior to Black's model, though their performance is both commodity-specific and forecasting horizon specific.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês

Identificador:

18807

http://purl.umn.edu/19048

Editor: | AgEcon Search

Relação:

NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management&gt;2005 Conference, St. Louis, MO, April 18-19, 2005

2005 Conference, St. Louis, MO, April 18-29, 2005

Formato:

21

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