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| Martinez-Garmendia, Josue; Anderson, James L.. |
| Seafood futures contracts are a novelty in the derivative markets, having shrimp as their only exponent. Unfortunately, shrimp futures contracts have suffered a disappointing start. The analyses focus on testing whether premiums/discounts for non-par deliverable shrimp size categories can eliminate cash price differentials, and whether the shrimp futures market can predict cash prices without bias. Results indicate ineffective premiums/discounts and predictive bias. These results and the momentous changes taking place in the seafood industry are contrasted to discuss the viability of seafood futures contracts. |
| Tipo: Journal Article |
Palavras-chave: Agribusiness. |
| Ano: 2001 |
URL: http://purl.umn.edu/31424 |
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| Vukina, Tomislav; Anderson, James L.. |
| The paper develops an adaptive model of perishable commodity dissipation based on the individual's price expectations and risk perception. A two-step, state-space procedure for modeling nonstationary time series is presented. The method combines an impulse response model for estimating deterministic components with an innovations model for the remaining stationary stochastic noise. Combined parameters are used to generate forecasts and to derive a measure of risk in a nonstationary price environment. Defined as the variance (covariance) of out-of-sample forecast error, the measure of risk is the difference between the historical estimate of the stationary noise auto-covariance and the variance (covariance) of out-of-sample forecasts. The optimal... |
| Tipo: Journal Article |
Palavras-chave: Demand and Price Analysis. |
| Ano: 1994 |
URL: http://purl.umn.edu/31318 |
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