


Registros recuperados: 17  


Naik, Gopal; Leuthold, Raymond M.. 
Empirical tests were made of components of the corn basis in the U.S. utilizing a general theory of intertemporal price relationships for storable commodities. These tests showed that the basis consists of a risk premium, a speculative component, and a maturity basis apart from other factors such as storage costs for storable commodities. The results provide insights into factors affecting basis patterns for corn. 
Tipo: Journal Article 
Palavraschave: Demand and Price Analysis. 
Ano: 1991 
URL: http://purl.umn.edu/30309 
 


Naik, Gopal; Leuthold, Raymond M.. 
Empirical analysis examines the presence of basis risk, speculative component, and expected maturity basis component in basis relationships for nonstorable commodities. The results indicate that all three above components exist in both cattle and hog markets. The basis risk and speculative components vary across contracts. Hog markets showed seasonality, which helps explain the hog basis more accurately. Flexibility in making the marketing decision strengthens the explanation of intertemporal price relationships for both cattle and hogs beyond that previously attributed to only feed prices. 
Tipo: Journal Article 
Palavraschave: Demand and Price Analysis; Marketing. 
Ano: 1988 
URL: http://purl.umn.edu/32106 
 


Ditsch, Mark W.; Leuthold, Raymond M.. 
The lean hog futures contract is replacing the live hog futures contract at the Chicago Mercantile Exchange beginning with the February 1997 contract. The lean hog futures will be cash settled based on a broadbased lean hog price index, eliminating terminal markets from the price discovery process. Using this index over a twentymonth period as a proxy for the lean hog futures price, this paper compares the hedging effectiveness of the live hog futures contract to the hedging potential of the lean hog futures contract for cash live hogs as well as four cash meat cuts. Frozen pork bellies futures are also examined for the cash meats. Both longterm and shortterm hedges are simulated, using the minimumvariance approach, which utilizes only unconditional... 
Tipo: Working or Discussion Paper 
Palavraschave: Marketing. 
Ano: 1996 
URL: http://purl.umn.edu/14769 
 


Manfredo, Mark R.; Leuthold, Raymond M.; Irwin, Scott H.. 
Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed cattle, feeder cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series implied... 
Tipo: Journal Article 
Palavraschave: Composite forecasting; Implied volatility; Time series; Volatility forecasting.; Demand and Price Analysis. 
Ano: 2001 
URL: http://purl.umn.edu/15449 
 


Kim, MinKyoung; Leuthold, Raymond M.; Garcia, Philip. 
This study contributes to understanding price risk management through hedging strategies in a forecasting context. A relatively new forecasting method, nonparametric local polynomial kernel (LPK), is used and applied to the hog sector. The selective multiproduct hedge based on the LPK price and hedge ratio forecasts is, in general, found to be better than continuous hedge and alternative forecasting procedures in terms of reduction of variance of unhedged return. The findings indicate that combining hedging with forecasts, especially when using the LPK technique, can potentially improve price risk management. 
Tipo: Conference Paper or Presentation 
Palavraschave: Marketing. 
Ano: 2001 
URL: http://purl.umn.edu/18966 
 

 


Manfredo, Mark R.; Leuthold, Raymond M.. 
VaR gives a prediction of potential portfolio losses, with a certain level of confidence, that may be encountered over a specified time period due to adverse price movements in the portfolio's assets. For example, a VaR of 1 million dollars at the 95% level of confidence implies that overall portfolio losses should not exceed 1 million dollars more than 5% of the time over a given holding period. This research examines the effectiveness of VaR measures, developed using alternative estimation techniques, in predicting large losses in the cattle feeding margin. Results show that several estimation techniques, both parametric and nonparametric, provide well calibrated VaR estimates such that violations (losses exceed the VaR estimate) are commensurate... 
Tipo: Conference Paper or Presentation 
Palavraschave: ValueatRisk; Cattle Feeding; Volatility; Livestock Production/Industries; Risk and Uncertainty. 
Ano: 1999 
URL: http://purl.umn.edu/21628 
 


Sanders, Dwight R.; Irwin, Scott H.; Leuthold, Raymond M.. 
Theoretical noise trader models suggest that uninformed traders can impact market prices. However, these models' conclusions depend crucially on the assumed specification for noise trader demand. This research seeks to empirically determine the appropriate demand specification for uninformed traders. Using commercial market sentiment indices as proxies for noise trader demand, Granger causality models are estimated to examine the linear linkages between sentiment and futures returns. The models strongly suggest that noise traders are positive feedback traders (i.e., extrapolative expectations) with relatively long memories. 
Tipo: Working or Discussion Paper 
Palavraschave: Marketing. 
Ano: 1996 
URL: http://purl.umn.edu/14765 
 

 


Leuthold, Raymond M.; Noussinov, Mikhail A.. 
Multiproduct optimal hedging for simulated cattle feeding is compared to alternative hedging strategies using weekly price data for 198395. Outofsample means and variances of hedged feeding margins using estimated hedge ratios for four commodities suggest that there is no consistent domination pattern among the alternative strategies, leaving the hedging decision up to the agent's degree of risk aversion. However, all hedging strategies significantly reduce the feeding margin's means and variances compared to no hedging, with variance reduction always exceeding 50%. Hedging results appear quite sensitive to the data set and its size. 
Tipo: Journal Article 
Palavraschave: Cattle feeding; Hedge ratios; Hedging strategies; Multiproduct hedging; Optimal hedging; Marketing. 
Ano: 1999 
URL: http://purl.umn.edu/14679 
 


Kim, MinKyoung; Leuthold, Raymond M.. 
The distributional behavior for futures price spread changes is examined through parametric and nonparametric tests on four different commodities: corn and live cattle, and gold and Tbonds with two different sample sizes. Data are examined for selected periods, stable (1992) and unstable (1988). Remarkably different results were found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and Tbonds and of corn produced more normal distributions as intervals were widened from daily to weekly, while all live cattle spreads for actual changes were normally distributed. However, the larger sample size of both gold and Tbonds and the relative spread changes for both corn and live cattle did not converge... 
Tipo: Working or Discussion Paper 
Palavraschave: Marketing. 
Ano: 1997 
URL: http://purl.umn.edu/14767 
 

 


Mattos, Fabio; Garcia, Philip; Leuthold, Raymond M.; Hahn, Tony. 
The purpose of this paper is to investigate the feasibility of a new futures contract for hedging wholesale transactions in the beef industry based on the USDA boxed beef cutout index (BBCO). The results suggest the live cattle futures contract is not an adequate tool to manage the price risk of wholesale meat transactions in the beef industry. However, a futures contract based on the BBCO index might provide considerably more opportunities for the hedging of wholesale meat cut prices. A pattern of improved hedging effectiveness at more distant horizons also appears to emerge for the individual cuts of meat using the conditional hedge procedures. These results may be of particular interest to members of the meat industry with longer planning horizons,... 
Tipo: Conference Paper or Presentation 
Palavraschave: Hedge ratio; Hedging effectiveness; Boxedbeef cutout; Wholesale beef prices; Marketing. 
Ano: 2003 
URL: http://purl.umn.edu/18986 
 

 


Manfredo, Mark R.; Garcia, Philip; Leuthold, Raymond M.. 
In developing optimal hedge ratios for the soybean processing margin, many authors have illustrated the importance of considering the interactions between the cash and futures prices for soybeans, soybean oil, and soybean meal. Conditional as well as timevarying hedge ratios have been examined, but in the case of multiproduct timevarying hedge ratios, the difficulty in estimation has been found to often outweigh any improvement in hedging effectiveness. This research examines the hedging effectiveness of the Risk Metrics procedure for estimating a timevarying covariance matrix for developing optimal hedge ratios for the soybean processing margin. The Risk Metrics method allows for a timevarying covariance matrix while being considerably easier to... 
Tipo: Conference Paper or Presentation 
Palavraschave: Marketing. 
Ano: 2000 
URL: http://purl.umn.edu/18933 
 

 
Registros recuperados: 17  


