Consulta: creatorFacets:"Roberts,   Matthew C."
Registros recuperados: 20
Data/hora: 13/06/2024 01:10:36

Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options
Provedor de dados: 31
Autores: Chen,   Gang; Roberts,   Matthew C.; Roe,   Brian E.
The central part of pricing agricultural commodity futures options is to find appropriate stochastic process of the underlying assets. The Black's (1976) futures option pricing model laid the foundation for a new era of futures option valuation theory. The geometric Brownian motion assumption girding the Black's model, however, has been regarded as unrealistic in numerous empirical studies. Option pricing models incorporating discrete jumps and stochastic volatility have been studied extensively in the literature. This study tests the performance of major alternative option pricing models and attempts to find the appropriate model for pricing commodity futures options.
Tipo: Conference Paper or Presentation
Palavras-chave: Marketing.
Ano: 2005
URL: http://purl.umn.edu/19183

A TERM STRUCTURE MODEL FOR AGRICULTURAL FUTURES
Provedor de dados: 31
Autores: Fackler,   Paul L.; Roberts,   Matthew C.
An extension of Schwartz's model of futures price term structure that includes seasonality is developed. The approach allows futures prices for all maturities to be estimated simultaneously by exploiting arbitrage relationships. An application to wheat futures prices is presented.
Tipo: Conference Paper or Presentation
Palavras-chave: Futures markets; Price analysis; Demand and Price Analysis; Marketing.
Ano: 1999
URL: http://purl.umn.edu/21543

MANAGING DAIRY PROFIT RISK USING WEATHER DERIVATIVES
Provedor de dados: 31
Autores: Chen,   Gang; Roberts,   Matthew C.; Thraen,   Cameron S.
Replaced with revised version of paper 05/26/04.
Tipo: Conference Paper or Presentation
Palavras-chave: Risk and Uncertainty.
Ano: 2003
URL: http://purl.umn.edu/18971

MEASUREMENT OF PRICE RISK IN REVENUE INSURANCE: IMPLICATIONS OF DISTRIBUTIONAL ASSUMPTIONS
Provedor de dados: 31
Autores: Roberts,   Matthew C.; Goodwin,   Barry K.; Coble,   Keith H.
A variety of crop revenue insurance programs is now available.  These programs require measurement of price risk.  This article investigates the appropriateness of distributional assumptions underlying current and proposed alternative actuarial methods.  Our results find that prices are best modeled using a flexible mixture of normals distribution.
Tipo: Conference Paper or Presentation
Palavras-chave: Demand and Price Analysis; Risk and Uncertainty.
Ano: 1998
URL: http://purl.umn.edu/20840

TECHNICAL ANALYSIS IN COMMODITY MARKETS:  RISK, RETURNS, AND VALUE
Provedor de dados: 31
Autores: Roberts,   Matthew C.
Although there is little academic research that supports the usefulness of technical analysis, its use remains widespread in commodity markets.  Much prior research into technical analysis suffered from data-snooping biases.  Using genetic programming, ex ante optimal technical trading strategies are identified.  Because they are mechanically generated from simple arithmetic operators, they are free of the data-snooping bias common in technical analysis research.  These rules are clearly capable of forecasting periods of high and low volatility, but rules generated for corn and soybeans cannot consistently generate profits in the presence of transactions costs.  Rules generated for wheat futures produce profits that are weakly significant, both...
Tipo: Conference Paper or Presentation
Palavras-chave: Technical Analysis; Genetic Algorithms; Commodity Markets; Futures Markets; Marketing.
Ano: 2003
URL: http://purl.umn.edu/18974

Updating the Estimation of the Supply of Storage Model
Provedor de dados: 31
Autores: Zulauf,   Carl R.; Zhou,   Haijiang; Roberts,   Matthew C.
An updated supply of storage equation is estimated to reflect recent developments in the theoretical and empirical literature.  Among the findings is an inverse relationship between storage cost adjusted price spread and a proxy measure of convenience yield, and a curvilinear relationship between stocks-to-use ratio and implied volatility.
Tipo: Conference Paper or Presentation
Palavras-chave: Supply of storage; Implied volatility; Convenience yield; Research Methods/ Statistical Methods; Q11; Q14; G10.
Ano: 2005
URL: http://purl.umn.edu/19122

Storability on Modeling Commodity Futures Prices
Provedor de dados: 31
Autores: Lin,   Chuanyi; Roberts,   Matthew C.
Econometric models of commodity prices have been estimated for more than 80 years, but both structural and time series models require ad hoc assumptions to capture all the features of commodity price series. Commodities can be broadly divided into two categories: storable and non-storable. The purpose of this study is to investigate the effects of storability on commodity futures pricing, especially whether meats can be reasonably approximated by storable commodity term structure models. From the empirical analysis of seven commodity futures prices, the two-factor Schwartz model is found to perform well for less storable commodities.
Tipo: Conference Paper or Presentation
Palavras-chave: Marketing.
Ano: 2006
URL: http://purl.umn.edu/21484

A Term Structure Model for Commodity Prices: Does Storability Matter?
Provedor de dados: 31
Autores: Lin,   Chuanyi; Roberts,   Matthew C.
Econometric models of commodity prices have been estimated for more than 80 years, but both structural and time series models require ad hoc assumptions to capture all the features of commodity price series. Commodities can be broadly divided into two categories: storable and non-storable. The purpose of this study is to investigate the effects of storability on commodity futures pricing, especially whether meats can be reasonably approximated by storable commodity term structure models. From the empirical analysis of seven commodity futures prices, the two-factor Schwartz model is found to perform well for less storable commodities.
Tipo: Working or Discussion Paper
Palavras-chave: Demand and Price Analysis.
Ano: 2006
URL: http://purl.umn.edu/18993

A DYNAMIC PROGRAMMING FRAMEWORK FOR USING WEATHER DERIVATIVES TO MANAGE DAIRY PROFIT RISK
Provedor de dados: 31
Autores: Chen,   Gang; Roberts,   Matthew C.
Replaced with revised version of paper 07/19/04.
Tipo: Conference Paper or Presentation
Palavras-chave: Risk and Uncertainty.
Ano: 2004
URL: http://purl.umn.edu/20171

Managing Dairy Profit Risk Using Weather Derivatives
Provedor de dados: 31
Autores: Chen,   Gang; Roberts,   Matthew C.; Thraen,   Cameron S.
Weather conditions are a primary source of dairy production risk. Hot and humid weather induces heat stress, which reduces lactation. Heat abatement, such as ventilation, directly affects the temperature and humidity. Abatement can increase expected profit, but cannot eliminate the lost revenue caused by heat stress. Weather derivatives can reduce weather-induced profit risk and act as a substitute for abatement at the margin. We test the risk management value of weather derivatives in a utility-maximization framework. The result is that weather derivatives can expand the efficient portfolio frontier. Simultaneously using the weather derivatives and abatement equipment is more favorable than using either alone.
Tipo: Journal Article
Palavras-chave: Abatement technology; Mean-variance efficiency; Profit risk; Weather derivatives; Livestock Production/Industries; Risk and Uncertainty.
Ano: 2006
URL: http://purl.umn.edu/8624

MEASUREMENT OF PRICE RISK IN REVENUE INSURANCE:  IMPLICATIONS OF DISTRIBUTIONAL ASSUMPTIONS
Provedor de dados: 31
Autores: Goodwin,   Barry K.; Roberts,   Matthew C.; Coble,   Keith H.
A variety of crop revenue insurance programs have recently been introduced. A critical component of revenue insurance contracts is quantifying the risk associated with stochastic prices. Forward-looking, market-based measures of price risk which are often available in form of options premia are preferable. Because such measures are not available for every crop, some current revenue insurance programs alternatively utilize historical price data to construct measures of price risk. This study evaluates the distributional implications of alternative methods for estimating price risk and deriving insurance premium rates. A variety of specification tests are employed to evaluate distributional assumptions. Conditional heteroskedasticity models are used to...
Tipo: Journal Article
Palavras-chave: Risk and Uncertainty.
Ano: 2000
URL: http://purl.umn.edu/30830

WEATHER DERIVATIVES IN THE PRESENCE OF INDEX AND GEOGRAPHICAL BASIS RISK: HEDGING DAIRY PROFIT RISK
Provedor de dados: 31
Autores: Chen,   Gang; Roberts,   Matthew C.
Weather conditions pose unique risks to dairy producers. Weather derivatives represent a potentially promising approach to augment dairy producers' risk management against adverse weather events. This study examines the effect of basis risk in weather derivatives, and whether the existence of basis risk mitigates the usefulness of weather derivatives for dairy risk management. Assuming a representative dairy producer has access to both weather derivatives and traditional heat abatement equipment, a closed-form solution for his/her optimal portfolio choice problem in the presence of basis risk is derived within a mean-variance utility framework. First-, second-, and third- degree stochastic dominance criteria are used to test the risk management...
Tipo: Conference Paper or Presentation
Palavras-chave: Marketing; Risk and Uncertainty.
Ano: 2004
URL: http://purl.umn.edu/19030

Managing Livestock Feed Cost Risks Using Futures and Options
Provedor de dados: 31
Autores: Chen,   Gang; Roberts,   Matthew C.; Roe,   Brian E.
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. The price forecast can assist livestock producers to assess different feed procurement strategies in terms of the distribution of costs projected for each strategy.
Tipo: Conference Paper or Presentation
Palavras-chave: Risk and Uncertainty.
Ano: 2005
URL: http://purl.umn.edu/19399

MIXTURE DISTRIBUTIONS: CURING COMMODITY KURTOSIS?
Provedor de dados: 31
Autores: Roberts,   Matthew C.
Recent research has determined that commodity prices often exhibit distributional characteristics inconsistent with normality or log-normality.  We utilize discrete mixtures of log-normals in a GARCH framework to model corn, wheat, and soybean prices.  Options premiums are simulated and compared to actual premiums and premiums generated under standard Black-Scholes assumptions.
Tipo: Conference Paper or Presentation
Palavras-chave: Agribusiness; Research Methods/ Statistical Methods.
Ano: 1999
URL: http://purl.umn.edu/21604

HOW ARE CROP YIELDS DISTRIBUTED?
Provedor de dados: 31
Autores: Norwood,   F. Bailey; Roberts,   Matthew C.; Lusk,   Jayson L.
Six popular crop yield distributions are compared to determine which best describes yield fluctuations out-of-sample.  For 183 crop and county combinations, each distribution is estimated and ranked according to its log-likelihood function observed at out-of-sample observations.  A semiparametric model dominates the contest for most crops and counties, likely due to its flexibility and treatment of heteroskedasticity.  Most other models ranked lower because their variance equation performed poorly out-of-sample.
Tipo: Conference Paper or Presentation
Palavras-chave: Crop Production/Industries.
Ano: 2002
URL: http://purl.umn.edu/19733

Realized Volatility in the Agricultural Futures Market
Provedor de dados: 31
Autores: Wang,   Yuanfang; Roberts,   Matthew C.
Users of agricultural markets always need to establish accurate representations of future volatility. This paper investigates the properties of realized volatility in the soybean futures market. The results indicate that the distributional properties of realized volatility based on 5-minute returns largely correspond with existing literature. The findings of three volatility measures confirm that the Mixture of Distributions Hypothesis (MDH) is valid. In contrast, the standardized daily returns display some different properties compared with stock and exchange rate data. Moreover, the parametric ARFIMA and GARCH models reflect same patterns as described in nonparametric analysis.
Tipo: Conference Paper or Presentation
Palavras-chave: Realized volatility; GARCH models; ARFIMA models; Distribution; Marketing.
Ano: 2005
URL: http://purl.umn.edu/19211

The Role of Yield-Price Correlation in Setting Optimal N Application Rates for Corn Production
Provedor de dados: 31
Autores: Roberts,   Matthew C.; Mullen,   Robert W.; Prochaska,   Steve.
Replaced with revised copy of paper 1/16/07.
Tipo: Conference Paper or Presentation
Palavras-chave: Nitrogen fertilizer; Yield response; EONR; Farm Management.
Ano: 2006
URL: http://purl.umn.edu/21380

ARE INTEREST RATES NECESSARY FOR TEMPORAL COINTEGRATION? EVIDENCE FROM THE LONDON METAL EXCHANGE (LME)
Provedor de dados: 31
Autores: Zhou,   Haijiang; Roberts,   Matthew C.; Zulauf,   Carl R.
This study examines the long run relationship between 1-day and 3-month futures prices for five metals at the London Metal Exchange (LME) and further investigates the role of interest rates in this relationship. A battery of stationarity tests and cointegration tests are applied to a simple cost of carry model, which contains the interrelationship between prices of the same commodity for delivery at two different dates and the cost of carry term. Results provide strong evidence that 1-day and 3-month metals futures prices are cointegrated and that interest rates are not needed to find this cointegration. These findings are confirmed in an analysis of the truncated sample period of 1979-1984 when the interest rates were highly volatile. Our finding calls...
Tipo: Conference Paper or Presentation
Palavras-chave: Demand and Price Analysis.
Ano: 2004
URL: http://purl.umn.edu/20095

FORECASTING DAILY VOLATILITY USING RANGE-BASED DATA
Provedor de dados: 31
Autores: Wang,   Yuanfang; Roberts,   Matthew C.
Users of agricultural markets frequently need to establish accurate representations of expected future volatility. The fact that range-based volatility estimators are highly efficient has been acknowledged in the literature. However, it is not clear whether using range-based data leads to better risk management decisions. This paper compares the performance of GARCH models, range-based GARCH models, and log-range based ARMA models in terms of their forecasting abilities. The realized volatility will be used as the forecasting evaluation criteria. The conclusion helps establish an efficient forecasting framework for volatility models.
Tipo: Conference Paper or Presentation
Palavras-chave: Marketing.
Ano: 2004
URL: http://purl.umn.edu/20377

Forecasting Livestock Feed Cost Risks Using Futures and Options
Provedor de dados: 31
Autores: Chen,   Gang; Roberts,   Matthew C.; Roe,   Brian E.
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
Palavras-chave: Livestock Production/Industries; Marketing.
Ano: 2005
URL: http://purl.umn.edu/19048