Data/hora: 10/06/2024 17:57:53

Provedor de dados: | 31
País: | United States
Título: | A TERM STRUCTURE MODEL FOR AGRICULTURAL FUTURES
Autores: | Fackler,   Paul L.; Roberts,   Matthew C.
Data: | 1999-08-17
Ano: | 1999
Palavras-chave: | Futures markets; Price analysis; Demand and Price Analysis; Marketing.
Resumo: | An extension of Schwartz's model of futures price term structure that includes seasonality is developed. The approach allows futures prices for all maturities to be estimated simultaneously by exploiting arbitrage relationships. An application to wheat futures prices is presented.
Tipo: | Conference Paper or Presentation
Idioma: | Inglês

Identificador:

1685

http://purl.umn.edu/21543

Editor: | AgEcon Search

Relação:

American Agricultural Economics Association&gt;1999 Annual meeting, August 8-11, Nashville, TN

Selected Paper

Formato:

12

application/pdf