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	Provedor de dados AgEcon (2) Autor Dong, Fengxia (1) Du, Xiaodong (1) Gould, Brian W. (1) Roberts, Matthew C. (1) Wang, Yuanfang (1) Palavra-chave Realized volatility (2) ARFIMA models (1) Agricultural and Food Policy (1) Cash settlement (1) Distribution (1) GARCH models (1) Impulse responses (1) Marketing (1) Milk pricing (1) Q11 (1) Q14. (1) Speculation (1) Mais... Tipo do documento Conference Paper or Presentation (2) Ano 2011 (1) 2005 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última Realized Volatility in the Agricultural Futures Market AgEcon 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 Milk Price Volatility and its Determinants AgEcon Dong, Fengxia; Du, Xiaodong; Gould, Brian W.. The classified pricing of fluid milk under the Federal Milk Marketing Orders (FMMO) system combined with the cash settlement feature of Class IIII milk futures contracts generate a unique volatility pattern of these futures markets in the sense that the volatility gradually decreases as the USDA price announcement dates approaching in the month. Focusing on the evolution of volatility in Class III milk futures market, this study quantifies the relative importance of a set of factors driving milk price variation. While volatilities in both corn futures market and financial market Granger-cause the milk price volatility, the impact of financial market is more persistent. Besides embedded seasonality, market demand and supply conditions in the dairy... Tipo: Conference Paper or Presentation Palavras-chave: Cash settlement; Impulse responses; Milk pricing; Realized volatility; Speculation; Agricultural and Food Policy; Q11; Q14.. Ano: 2011 URL: http://purl.umn.edu/103617 Registros recuperados: 2 Primeira ... 1 ... Última

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