Sabiia Seb
PortuguêsEspañolEnglish
Embrapa
        Busca avançada

Botão Atualizar


Botão Atualizar

Ordenar por: RelevânciaAutorTítuloAnoImprime registros no formato resumido
Registros recuperados: 2
Primeira ... 1 ... Última
Imagem não selecionada

Imprime registro no formato completo
Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options AgEcon
Egelkraut, Thorsten M.; Garcia, Philip.
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: Journal Article Palavras-chave: Agricultural commodity; Efficiency; Forecasts; Implied forward volatility; Options; Marketing.
Ano: 2006 URL: http://purl.umn.edu/8637
Imagem não selecionada

Imprime registro no formato completo
THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET AgEcon
Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J..
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor of subsequent realized volatility. Using data from 1987-2001 and employing a flexible method to obtain the implied forward volatilities, two types of information are examined: 1) the market's estimate of future realized volatility for the nearby interval of the term structure and, 2) the market's expectation of the direction and magnitude of change of future realized volatility over time. In contrast to previous research, the results indicate that the implied...
Tipo: Conference Paper or Presentation Palavras-chave: Corn options; Implied forward volatility; Informational content; Term structure; Marketing.
Ano: 2003 URL: http://purl.umn.edu/18983
Registros recuperados: 2
Primeira ... 1 ... Última
 

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