Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 37 for “"futures prices"”.
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Noise trader sentiment and the behavior of futures prices
… Summers, and Waldmann is modified and applied to futures markets. The theoretical model predicts that overly optimistic (pessimistic) noise traders result in futures prices that are greater (less) than fundamental value. More specifically, the model indicates that futures prices contain a …
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Cointegration relations between spot and futures prices for selected commodities: Implications for hedging and forecasting
… analysis is used to study the spot and futures price relationships for two storable commodities, corn and soybeans, and a nonstorable commodity, live hogs, over a 13-year period, 1980 to 1992. For corn and soybeans, cointegration is found in most pre-harvest contracts (July), and …
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Are futures prices good price forecasts? Nonlinearities in efficiency and risk premiums in the soybean futures complex
Prior to 2005, the evidence suggested that futures markets were relatively efficient in the long run, but short-run inefficiencies existed in certain markets for particular periods. Recent research has pointed to a reduction in predictive content in several agricultural markets, but the specific …
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A study of the multivariate distribution of commodity futures prices with a view to the development of portfolios and trading systems
… in the London cocoa, coffee, sugar and rubber futures markets over the period 1975-79 are studied. In the analysis, two relatively recent multivariate procedures (the multivariate serial correlation coefficient and the multivariate extension of the W- test for normality) are investigated. The …
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Spread, inventory and spot price volatility in the platinum market
… demand-and-supply conditions have on spot and futures prices. With the use of monthly data for the period January 1992 to January 2010, I find that the predictions of the theory of storage do not always hold in the platinum market. In conflict with the theoretical predictions, I find that: i) …
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Modelling seasonality in South African agricultural futures
… the seasonality in agricultural commodity futures prices. Futures prices are modelled using the model developed by Sørensen (2002). The model defines the commodity spot price as the sum of a nonstationary state variable, a stationary state variable and a deterministic seasonal component. …
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Improving the Accuracy of Outlook Price Forecasts: An Application to Livestock Markets
… the performance of outlook forecasts relative to futures prices in hog and cattle markets over the last three decades and evaluates numerous time-series models and combinatory procedures as forecasting techniques to improve the predictive accuracy of hog price outlook forecasts. Many of these …
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An analysis of the impact of the changes in the delivery procedure of the fresh shell egg futures contract
… in the delivery system of fresh shell egg futures contract from cold storage warehouse delivery to egg packing plant delivery have met with widespread criticisms in regard to their validity and justification from traders in the shell egg futures market. This study analyzed the changes in …
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Risk management, price discovery and forecasting in the freight futures market
The success or failure of a futures contract is determined by its ability to provide benefits to economic agents, over and above the benefits they derive from the spot market. These benefits are price discovery and risk management through hedging. The extent to which different commodity and …
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Volatility and Price Information Contained in Selected Agricultural Futures Options
… information contained in selected agricultural futures options with respect to three important dimensions: (1) forecasts of future levels of volatility, (2) forecasts of the direction and magnitude of changes in future volatility, and (3) forecasts of subsequent futures prices in the presence of …
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Interaction between the cattle feeding sector and the live cattle futures market: implications to the stability of short-run cash slaughter cattle prices
… Fax</u> member feedlots, and the live cattle futures market is examined. The purpose of this research is to explore the simultaneity between placement decisions made in the cattle feeding sector and the price discovery process for distant contracts within the live cattle futures market. The …
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Price jumps and volatility in U.S. agricultural futures markets
Agricultural commodity futures markets have changed with the arrival of electronic trading. Electronic trading platforms have facilitated the emergence of automated systems in these markets which are now experiencing a race among traders to gain speed in implementing transactions. This new trading …
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Efficiency and Accuracy of Alternative Implementations of No-Arbitrage Term Structure Models of the Heath-Jarrow-Morton Class
… Heath-Jarrow-Morton framework using Eurodollar futures options data. We estimate a daily time series of forward rates within the HJM framework such that, by construction, the predicted futures prices from our model exactly match the observed futures prices. Next, we estimate a daily time series …
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Efficient Market Forecasts Utilizing NYMEX Futures and Options
… for estimating confidence intervals surrounding futures based forecasts of natural gas prices. The method utilizes the Barone-Adesi and Whaley model for option valuation to "back-out" the market's assessment of the annualized standard deviation of natural gas futures prices. The various implied …
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Price distortions in the commodity futures markets
… level of speculation is required for commodity futures markets to function. On the other hand, certain types of trading activities by speculators may damage a market's price discovery function and in turn its hedging function. However, there is great disagreement as to which types of speculation …
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Understanding the price of DDGS
… on providing a descriptive analysis of DDGS prices, risk management practices or analyzing regional DDGS price differences. Time series methods are used to investigate the presence of a cointegrating relationship between weekly DDGS prices, soybean meal prices and corn prices in Iowa. The …
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Essays on the relations between derivatives and underlying asset or commodity markets
… agreements. It is well documented that IPO stock prices decline around lockup expirations, without reversals. Investors can exploit these price declines either by short selling in the underlying stock market or by establishing synthetic short positions in the option markets prior to the lockup …
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Do prices drive commercial trader positions in grains and oilseeds markets?
We examine the impacts of futures price changes on commercial traders’ aggregate net positioning in grains and oilseeds markets during the pre-harvest period from 2007-2019. We proceed in two steps. First, we modify and extend the analysis of optimal hedging proposed by Jacobs, Li, and Hayes (AJAE …
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Speculation and commodity valuations : investigating the effects of speculation in the markets for oil and gold
… on the arbitrage relationship between spot and futures prices as the equilibrium relationship in the markets for oil and gold. This enabled the study to conclude that the important assertion made by Antoshin and Samiei that, in the market for oil, causality has been from higher prices to …
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Essays On Oil Price Volatility And Irreversible Investment
… the volatility of daily spot</p> <p>crude oil prices. Empirical research over the past decades has uncovered</p> <p>significant gains in forecasting performance of Markov Switching GARCH</p> <p>models over GARCH models for the volatility of financial assets and crude</p> <p>oil futures. We find …
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