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	Provedor de dados AgEcon (8) Autor Brittain, Lee (2) Garcia, Philip (2) Irwin, Scott H. (2) Alves, Alexandre Florindo (1) Cruz Junior, Jose Cesar (1) Du, Xiaodong (1) Hennessy, David A. (1) Kim, MinKyoung (1) Lanfranco, Bruno A. (1) Leuthold, Raymond M. (1) Marques, Pedro Valentim (1) Martines-Filho, Joao Gomes (1) McKenzie, Andrew M. (1) Power, Gabriel J. (1) Serra, Marco Henrique (1) Thomsen, Michael R. (1) Zhao, Huan (1) Mais... Palavra-chave Live cattle (8) Livestock Production/Industries (5) Marketing (5) Risk and Uncertainty (5) Feeder cattle (3) Financial Economics (3) Agribusiness (2) Boi gordo (2) Options (2) Returns (2) Risk (2) Volatility forecasting (2) Agricultural Finance (1) Agricultural and Food Policy (1) Community/Rural/Urban Development (1) Contratos futuros (1) Corn (1) D81 (1) Farm Management (1) Financial markets (1) Mais... Tipo do documento Conference Paper or Presentation (3) Journal Article (2) Book (1) Presentation (1) Working or Discussion Paper (1) Ano 2011 (1) 2009 (3) 2008 (2) 2005 (1) 2000 (1) País United States (8) Idioma Inglês (5) Português (2) Espanhol (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 8 Primeira ... 1 ... Última THE DISTRIBUTIONAL BEHAVIOR OF FUTURES PRICE SPREADS AgEcon Kim, MinKyoung; Leuthold, Raymond M.. The distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn produce more normal distributions for weekly than for daily differencing intervals, while all live cattle spreads for actual changes are normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for corn and live cattle do not become more normally distributed under temporal aggregation of the data. Tipo: Journal Article Palavras-chave: Corn; Futures price spreads; Gold; Goodness of fit; Live cattle; Normality tests; Spread distributions; T-bonds; Marketing. Ano: 2000 URL: http://purl.umn.edu/15399 Razao de hedge otima de minimo MPI (momento parcial inferior) no mercado futuro de boi gordo na BM&F AgEcon Marques, Pedro Valentim; Martines-Filho, Joao Gomes; Cruz Junior, Jose Cesar. Uma vez que o pecuarista decide-se por utilizar o mercado futuro de boi gordo da BM&F como ferramenta de redução de risco de sua produção, uma das primeiras perguntas a serem respondidas é: quanto se fazer de hedge? Esta pergunta tem sido frequentemente respondida através da utilização do modelo de razão de hedge de mínima variância. O presente trabalho teve como objetivo apresentar um modelo alternativo à abordagem tradicional - denominado razão de hedge de mínimo momento parcial inferior (MPI) - para se calcular a razão de hedge ótima. O modelo alternativo utiliza o momento parcial inferior como medida de risco. Ambas as razões de hedge foram calculadas e suas performances foram verificadas através da avaliação dos resultados obtidos com suas... Tipo: Presentation Palavras-chave: Mercados futuros; Razao de hedge otima; Momentos parciais inferiores; Boi gordo; Futures markets; Optimal hedge ratio; Lower partial moments; Live cattle; Marketing; Risk and Uncertainty. Ano: 2008 URL: http://purl.umn.edu/119148 Volatility Surface and Skewness in Live Cattle Futures Price Distributions with Application to North American BSE Announcements AgEcon Thomsen, Michael R.; McKenzie, Andrew M.; Power, Gabriel J.. Tipo: Conference Paper or Presentation Palavras-chave: Options markets; Live cattle; Volatility; Pricing density function; Financial Economics; Livestock Production/Industries; Risk and Uncertainty. Ano: 2009 URL: http://purl.umn.edu/49354 Análise dos Resultados de Operações de Hedging com Contratos Futuros de Boi Gordo da BM&F: 2001 a 2006 AgEcon Alves, Alexandre Florindo; Serra, Marco Henrique. O presente estudo tem como objetivo, usando simulações, analisar as operações de hedge com contratos de boi gordo da Bolsa de Mercadorias & Futuros (BM&F). As simulações compreenderam o período de 2001 a 2006, sendo que em todos os anos os contratos simulados são do mesmo vencimento, outubro com entrada na operação no mês de março, em três estados diferentes: São Paulo, Paraná e Mato Grosso do Sul. A estratégia de utilização do mercado futuro mostrou-se viável, desde que acompanhada do conhecimento de fatores que interferem no mecanismo de comercialização: o comportamento da base e do risco de base em cada região. O conhecimento e o acompanhamento destes fatores, através dos anos, tem fundamental importância na tomada de decisão para operações no... Tipo: Conference Paper or Presentation Palavras-chave: Boi gordo; Contratos futuros; Simulações; Hedge; Live cattle; Futures contracts; Simulations; Hedge; Livestock Production/Industries; Marketing; Risk and Uncertainty. Ano: 2008 URL: http://purl.umn.edu/102471 Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting AgEcon Brittain, Lee; Garcia, Philip; Irwin, Scott H.. This paper examines returns from holding 30- and 90-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. Implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most pronounced in live cattle. While significant returns exist from several positions, strategies are strongly affected by drifts in futures prices. However, returns from live cattle puts are persistent, and evidence from 30-day straddle returns indicates the live cattle market overprices volatility. Overpricing is consistent with volatility risk, the effect of which is magnified by extreme market conditions. Tipo: Journal Article Palavras-chave: Feeder cattle; Live cattle; Options; Returns; Risk; Volatility forecasting; Livestock Production/Industries; Risk and Uncertainty. Ano: 2011 URL: http://purl.umn.edu/105515 Cobertura del riesgo precios en los mercados de futuros para carne bovina en el marco de la experiencia uruguaya de 1993. AgEcon Lanfranco, Bruno A.. En la pasada década, Uruguay tuvo su primera experiencia con el mercado de futuros de novillos para faena (MFN), el que funcionó durante los últimos meses de 1993 y hasta comienzos de 1994. El hecho que el MFN no sobreviviera más que unos pocos meses no implica necesariamente que los mercados de futuros para ganado en pie sean inviables en nuestro país. En este trabajo se examinaron algunas de las posibles razones que pueden explicar su fracaso. Es posible que al momento de su implementación no estuvieran dadas todas las condiciones necesarias para su desarrollo. Un punto a develar es si el bajo volumen operado en el MFN se debió a condiciones estructurales inherentes a las economías pequeñas y, por ende, imposibles de modificar o si, por el contrario,... Tipo: Book Palavras-chave: Financial markets; Live cattle; Livestock market; Agribusiness; Financial Economics; Risk and Uncertainty; D81; G13; G14. Ano: 2005 URL: http://purl.umn.edu/121755 Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting AgEcon Brittain, Lee; Garcia, Philip; Irwin, Scott H.. The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most prominent in live cattle. While significant returns exist holding several market positions, most strategies are strongly affected by a drift in futures market prices. However, the returns from selling live cattle puts are persistent, and evidence from straddle returns identifies that the market overprices volatility. This overpricing is consistent with a short-term risk premium whose effect is magnified by extreme changes in market conditions. Tipo: Conference Paper or Presentation Palavras-chave: Live cattle; Feeder cattle; Options; Returns; Risk; Volatility forecasting; Agribusiness; Agricultural and Food Policy; Agricultural Finance; Community/Rural/Urban Development; Farm Management; Financial Economics; Livestock Production/Industries; Marketing; Research Methods/ Statistical Methods. Ano: 2009 URL: http://purl.umn.edu/53038 Pass-Through in United States Beef Cattle Prices AgEcon Zhao, Huan; Du, Xiaodong; Hennessy, David A.. Feeder cattle are fattened to become fed live cattle six months later. The U.S. feeder cattle industry is intensively competitive, so that market efficiency suggests feeder cattle prices should fully reflect feed prices and information on future fed cattle prices. Employing a long time series (1979-2004) of feeder cattle futures, live cattle futures, and local corn prices, we test whether complete pass-through occurs. The results indicate that an increase of a dollar per hundred pounds in the live cattle price leads to an increase of approximately $1.48 per hundred pounds in the feeder cattle price in one month, about 93% of complete pass-through. The corresponding negative effect of a corn price increase is about 87% of complete pass-through. By contrast... Tipo: Working or Discussion Paper Palavras-chave: Feeder cattle; Futures market efficiency; Live cattle; Structural change.; Institutional and Behavioral Economics; Livestock Production/Industries; Marketing; Production Economics. Ano: 2009 URL: http://purl.umn.edu/52085 Registros recuperados: 8 Primeira ... 1 ... Última

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