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Registros recuperados: 7
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Volatility Persistence in Commodity Futures:Inventory and Time-to-Delivery Effects AgEcon
Karali, Berna; Thurman, Walter N..
Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily returns in commodity futures markets. We show that the time gap between the arrival of news to the markets and the delivery time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We also find an inverse relationship between inventory levels and lumber futures volatility.
Tipo: Conference Paper or Presentation Palavras-chave: Volatility persistence; Theory of storage; Volatility; Futures markets; Lumber; Agricultural Finance.
Ano: 2008 URL: http://purl.umn.edu/37612
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Cotton Futures Dynamics: Structural Change, Index Traders and the Returns to Storage AgEcon
Power, Gabriel J.; Robinson, John R.C..
The commodity bull cycle of 2006-2008 and subsequent dramatic price decline have been a source of hardship for traditional commodity market participants such as producers and merchant/shippers. The usefulness of futures markets has been called into question, especially given that some market movements did not appear to be justified by economic fundamentals. An emerging research literature examines the possible influence of futures traders, and particularly the non-traditional Index Traders, on the well-functioning of futures markets and underlying commodity markets. Cotton is a relatively under-studied commodity that is of particular importance for producers in the South and Southwest. To this end, this paper asks the following questions: (1) What role...
Tipo: Conference Paper or Presentation Palavras-chave: Cotton; Futures markets; Theory of storage; Convenience yield; Index Traders; Agribusiness; Agricultural Finance; Crop Production/Industries; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty.
Ano: 2009 URL: http://purl.umn.edu/53044
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Announcement Effects and the Theory of Storage: An Empirical Study of Lumber Futures AgEcon
Karali, Berna; Thurman, Walter N..
Replaced with revised version of paper on 06/11/07.
Tipo: Conference Paper or Presentation Palavras-chave: Theory of storage; Announcement effects; Event study; Futures markets; Commodity futures; Marketing.
Ano: 2007 URL: http://purl.umn.edu/9865
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Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator AgEcon
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N..
Replaced with revised version of paper 07/15/08.
Tipo: Conference Paper or Presentation Palavras-chave: Volatility; Theory of storage; Futures markets; Bayesian econometrics; Lumber; Marketing.
Ano: 2008 URL: http://purl.umn.edu/6084
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Does Futures Price Volatility Differ Across Delivery Horizon? AgEcon
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N..
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.
Tipo: Conference Paper or Presentation 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.
Ano: 2009 URL: http://purl.umn.edu/53036
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REGIONAL AND SEASONAL DIFFERENCES IN THE COTTON BASIS AgEcon
Seamon, V. Frederick; Kahl, Kandice H.; Curtis, Charles E., Jr..
The cotton basis is examined graphically and statistically to determine if the basis differs across U.S. production regions and within the crop year as economic theory predicts. The analysis indicates the basis differs for some, but not all, regions consistent with the theory. Results also show that the typical seasonal pattern is not apparent for regions which export most of their cotton, most likely because demand in these regions is seasonal.
Tipo: Journal Article Palavras-chave: Basis expectations; Cotton marketing; Futures markets; Nonparametric statistics; Theory of storage; Marketing.
Ano: 2001 URL: http://purl.umn.edu/14694
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Pricing Options on Commodity Futures: The Role of Weather and Storage AgEcon
Bozic, Marin; Fortenbery, T. Randall.
Options on agricultural futures are popular financial instruments used for agricultural price risk management and to speculate on future price movements. Poor performance of Black’s classical option pricing model has stimulated many researchers to introduce pricing models that are more consistent with observed option premiums. However, most models are motivated solely from the standpoint of the time series properties of futures prices and need for improvements in forecasting and hedging performance. In this paper we propose a novel arbitrage pricing model motivated from the economic theory of optimal storage, and consistent with implications of plant physiology on the importance of weather stress. We introduce a pricing model for options on futures based...
Tipo: Conference Paper or Presentation Palavras-chave: Arbitrage pricing model; Options on futures; Generalized lambda distribution; Theory of storage; Skewness; Agribusiness; Agricultural Finance; Crop Production/Industries; Financial Economics; Research Methods/ Statistical Methods; Risk and Uncertainty; G13; Q11; Q14.
Ano: 2011 URL: http://purl.umn.edu/103638
Registros recuperados: 7
Primeira ... 1 ... Última
 

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