Data/hora: 02/06/2024 13:07:44

Provedor de dados: | 31
País: | United States
Título: | Components of Grain Futures Price Volatility
Autores: | Karali,   Berna; Thurman,   Walter N.
Data: | 2010-08-17
Ano: | 2010
Palavras-chave: | Futures markets; Samuelson effect; Seasonality; Time to maturity; Volatility; Crop Production/Industries; Risk and Uncertainty.
Resumo: | We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, a generalized least squares method is implemented that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing prior to harvest times— an indirect confirmation of the theory of storage.
Tipo: | Journal Article
Idioma: | Inglês
Identificador: | http://purl.umn.edu/93205
Relação: | Journal of Agricultural and Resource Economics&gt;Volume 35, Number 2, August 2010
Formato: | 16