Global ETD Search
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Showing 1 to 4 of 4 for “"USDA reports"”.
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The Impact of USDA Reports on U.S. Dairy Market Volatility
… of United States Department of Agriculture (USDA) reports on dairy futures price volatility over January 2011 to December 2023. Dairy futures are a relatively understudied commodity market with a unique pricing structure and settlement procedure. An E-GARCH model is used to estimate price …
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Price jumps and volatility in U.S. agricultural futures markets
… and the shift to real-time announcement of USDA reports. Using intraday prices from 2008 to 2015, we employ a nonparametric test to detect jumps and variance analysis to estimate jump or execution risk. Real-time trading of major USDA reports has substantially increased the frequency and …
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How Well Do Commodity Based ETFs Track Underlying Assets?
… as seasonality on a monthly and yearly level. USDA reports impacted the size of errors for CORN, WEAT and SOYB while EIA reports had no impact on error size. The mispricing analysis concluded that CORN and SOYB trade at a discount to Net Asset Value on average while WEAT trades at a premium.
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Essays on commodity investing and volatility risk
… evident on the day right before the release of USDA reports.