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Registros recuperados: 16 | |
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Isengildina-Massa, Olga; Sharp, Julia L.; Zhang, Jing; Campbell, Wallace A.. |
This study evaluates the accuracy of USDA interval forecasts for corn, soybean, and wheat prices using Christoffersen’s (1998) tests for unconditional coverage, independence and conditional coverage adjusted for asymmetries in tail probabilities. The findings of this study demonstrate that due to uneven distribution of forecast misses around the interval, calibration of soybean price forecasts in several cases was rejected by basic coverage tests (suitable for symmetric intervals) but not rejected by the tests adjusted for asymmetry. Thus these forecasts were asymmetric but accurate. Symmetry was not a limiting assumption for corn and wheat interval forecast accuracy. |
Tipo: Conference Paper or Presentation |
Palavras-chave: Crop Production/Industries. |
Ano: 2010 |
URL: http://purl.umn.edu/61731 |
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Isengildina-Massa, Olga; Curtis, Charles E., Jr.; Bridges, William; Nian, Minhuan. |
Implied volatility is a useful bit of information for futures and options hedgers and speculators. However, extraction of implied volatility from Black-Scholes (BS) option pricing model requires a numeric search. Since 1988, there have been numerous simplifying modifications to the BS formula proposed and presented in the applied economics and finance literature to allow approximation of implied volatility directly. This study identifies and tests these simplification methods for accuracy for call only and put-call average elicitation of an implied volatility estimate. Results show that accuracy varies by method and whether call only or put-call average approaches are applied. |
Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
Ano: 2007 |
URL: http://purl.umn.edu/34927 |
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Isengildina-Massa, Olga; Irwin, Scott H.; Good, Darrel L.. |
The purpose of this paper is to determine whether smoothing in USDA corn and soybean production forecasts is concentrated in years with relatively small and large crops. The sample consists of all USDA corn and soybean production forecasts released over the 1970 through 2006 crop years. Results show that USDA crop production forecasts in both corn and soybeans have a marked tendency to decrease in small crop years and increase in big crop years. The magnitude of smoothing is surprisingly large, with corn and soybean production forecasts cumulatively revised downward by about 6 to 7 percent in small crop years and upward by about 5 to 6 percent in large crop years. Crop condition ratings are useful in predicting whether the current year is likely to be a... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Corn; Crop production; Forecasts; Smoothing; Soybeans; USDA. |
Ano: 2007 |
URL: http://purl.umn.edu/37563 |
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Curtis, Charles E., Jr.; Isengildina-Massa, Olga; Hummel, Andrew. |
This study analyses the variables that affect the option premium levels in an attempt to identify a period in time that would be considered "preferred" for the purchase of a December put option contract for corn and cotton. The daily futures and options data from January 1990 to October 2005 revealed that average prices of December cotton and corn futures tended to be higher in the month of March. The early months of the year also demonstrated low implied volatility levels while offering larger time to maturity. The analysis suggests that March may be a preferred time to purchase December cotton and corn put options. |
Tipo: Conference Paper or Presentation |
Palavras-chave: Marketing. |
Ano: 2007 |
URL: http://purl.umn.edu/34941 |
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Isengildina-Massa, Olga; Irwin, Scott H.; Good, Darrel L.. |
This study uses quantile regressions to estimate historical forecast error distributions for WASDE forecasts of corn, soybean, and wheat prices, and then compute confidence limits for the forecasts based on the empirical distributions. Quantile regressions with fit errors expressed as a function of forecast lead time are consistent with theoretical forecast variance expressions while avoiding assumptions of normality and optimality. Based on out-of-sample accuracy tests over 1995/96–2006/07, quantile regression methods produced intervals consistent with the target confidence level. Overall, this study demonstrates that empirical approaches may be used to construct accurate confidence intervals for WASDE corn, soybean, and wheat price forecasts. |
Tipo: Journal Article |
Palavras-chave: Commodity; Evaluating forecasts; Government forecasting; Judgmental forecasting; Prediction intervals; Price forecasting; Crop Production/Industries; Demand and Price Analysis. |
Ano: 2010 |
URL: http://purl.umn.edu/99120 |
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Isengildina-Massa, Olga; Irwin, Scott H.; Good, Darrel L.. |
This paper explores the use of quantile regression for estimation of empirical confidence limits for WASDE forecasts of corn, soybean, and wheat prices. Quantile regressions for corn, soybean, and wheat forecast errors over 1980/81 through 2006/07 were specified as a function of forecast lead time. Estimated coefficients were used to calculate forecast intervals for 2007/08. The quantile regression approach to calculating forecast intervals was evaluated based on out-of-sample performance. The accuracy of the empirical confidence intervals was not statistically different from the target level about 87% of the time prior to harvest and 91% of the time after harvest. |
Tipo: Conference Paper or Presentation |
Palavras-chave: Demand and Price Analysis. |
Ano: 2008 |
URL: http://purl.umn.edu/6409 |
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Isengildina-Massa, Olga; MacDonald, Stephen. |
The purpose of this study was to analyze structural changes that took place in the cotton industry in recent years and develop a statistical model that reflects the current drivers of U.S. cotton prices. Legislative changes authorized the U.S. Department of Agriculture to resume publishing cotton price forecasts for the first time in 79 years. In addition, systematic problems have become apparent in the forecasting models used by USDA and elsewhere, highlighting the need for an updated review of price relationships. This study concluded that a structural break in the U.S. cotton industry occurred in 1999, and that world cotton supply has become an important determinant of U.S. cotton prices. China’s trade and production policy also continues to be an... |
Tipo: Conference Paper or Presentation |
Palavras-chave: Forecasting; Cotton; Price; Demand; Trade; Structural change; Farm programs.; Demand and Price Analysis; Q100; Q110; Q130. |
Ano: 2009 |
URL: http://purl.umn.edu/49324 |
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Registros recuperados: 16 | |
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