Data/hora: 11/06/2024 12:31:25

Provedor de dados: | 31
País: | United States
Título: | Does Futures Price Volatility Differ Across Delivery Horizon?
Autores: | Karali,   Berna; Dorfman,   Jeffrey H.; Thurman,   Walter N.
Data: | 2009-08-25
Ano: | 2009
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.
Resumo: | 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
Idioma: | Inglês
Identificador: | http://purl.umn.edu/53036

Relação:

NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management&gt;2009 Conference, April 20-21, 2009, St. Louis, Missouri

NCCC- 134

02

Formato: | 35