Sabiia Seb
PortuguêsEspañolEnglish
Embrapa
        Busca avançada

Botão Atualizar


Botão Atualizar

Registro completo
Provedor de dados:  AgEcon
País:  United States
Título:  Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options
Autores:  Egelkraut, Thorsten M.
Garcia, Philip
Data:  2005-11-03
Ano:  2005
Palavras-chave:  Marketing
Resumo:  Options with different maturities can be used to generate an implied forward volatility, a volatility forecast for non-overlapping future time intervals. Using five commodities with varying characteristics, we find that the implied forward volatility dominates forecasts based on historical volatility information, but that the predictive accuracy is affected by the commodity's characteristics. Unbiased and efficient corn and soybeans market forecasts are attributable to the well-established volatility during crucial growing periods. For soybean meal, wheat, and hogs volatility is less predictable, and investors appear to demand a risk premium for bearing volatility risk.
Tipo:  Conference Paper or Presentation
Idioma:  Inglês
Identificador:  18849

http://purl.umn.edu/19033
Editor:  AgEcon Search
Relação:  NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2005 Conference, St. Louis, MO, April 18-19, 2005
2005 Conference, St. Louis, MO, April 18-19, 2005
Formato:  21

application/pdf
Fechar
 

Empresa Brasileira de Pesquisa Agropecuária - Embrapa
Todos os direitos reservados, conforme Lei n° 9.610
Política de Privacidade
Área restrita

Embrapa
Parque Estação Biológica - PqEB s/n°
Brasília, DF - Brasil - CEP 70770-901
Fone: (61) 3448-4433 - Fax: (61) 3448-4890 / 3448-4891 SAC: https://www.embrapa.br/fale-conosco

Valid HTML 4.01 Transitional