Registro completo |
Provedor de dados: |
AgEcon
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País: |
United States
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Título: |
Components of Grain Futures Price Volatility
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Autores: |
Karali, Berna
Thurman, Walter N.
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Data: |
2010-08-17
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Ano: |
2010
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Palavras-chave: |
Futures markets
Samuelson effect
Seasonality
Time to maturity
Volatility
Crop Production/Industries
Risk and Uncertainty
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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.
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Tipo: |
Journal Article
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Idioma: |
Inglês
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Identificador: |
http://purl.umn.edu/93205
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Relação: |
Journal of Agricultural and Resource Economics>Volume 35, Number 2, August 2010
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Formato: |
16
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