| Registro completo |
| Provedor de dados: |
31
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| País: |
United States
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| Título: |
Does Futures Price Volatility Differ Across Delivery Horizon?
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| Autores: |
Karali, Berna
Dorfman, Jeffrey H.
Thurman, Walter N.
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| Data: |
2009-08-25
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| Ano: |
2009
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| Palavras-chave: |
Bayesian econometrics
Futures markets
Seasonality
Theory of storage
Volatility
Agribusiness
Agricultural and Food Policy
Agricultural Finance
Consumer/Household Economics
Demand and Price Analysis
Farm Management
Financial Economics
Marketing
Research Methods/ Statistical Methods
Risk and Uncertainty
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| Resumo: |
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via the smoothed Bayesian estimator of Karali, Dorfman, and Thurman (2010). We show that the futures price volatilities in these markets are affected by the inventories, time to delivery, and the crop progress period. Some of these effects vary across delivery horizons. Further, it is shown that the price volatility is higher before the harvest starts in most of the cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
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| Identificador: |
http://purl.umn.edu/53036
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| Relação: |
NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2009 Conference, April 20-21, 2009, St. Louis, Missouri
NCCC- 134
02
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| Formato: |
35
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