Price limits as an explanation of thin-tailedness in pork bellies futures prices
Article Abstract:
The Tobit-GARCH model with conditional heteroskedasticity is used to determine whether price limits influence the thin-tailedness of the distribution of pork bellies futures prices. Results show that distribution becomes leptokurtic when price limits are not used and that the patykurtic returns are produced when the model is simulated with price limits. The Tobit-GARCH model is more effective as an option pricing model and becomes less accurate when used in hypothesis tests.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
User Contributions:
Comment about this article or add new information about this topic:
Hedging hard red winter wheat: Kansas City versus Chicago
Article Abstract:
A research aimed at finding out if and when hedgers must use the Chicago Board of Trade to hedge hard red winter wheat has revealed that a producer who hedges will maximize utility by choosing Kansas City. Producers will choose the cash market to a hedge unless very risk averse or when hedging for a period of one month or more. Producers under the lower liquidity cost difference will not prefer Chicago when hedging.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1998
User Contributions:
Comment about this article or add new information about this topic:
Nonlinear dynamics of daily futures prices: conditional heteroskedasticity or chaos?
Article Abstract:
A studywas conducted to evaluate the results of GARCH (generalized autoregressive conditional heteroskedastic) and deterministic chaos tests for measuring daily futures price variations. The study focuses on market anomalies which involve seasonality, day-of-the-week and maturity effects. Results show that price variations observed were largely linearly independent but nonlinearly dependent.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Trading noise, adverse selection, and intraday bid-ask spreads in futures markets. Limit moves and price resolution: a reply
- Abstracts: House votes to ban abortion procedure. Abortion: Clinton vetoes late-term method ban. Abortion restrictions reversed
- Abstracts: Two L.A. officers sentenced in King beating. Los Angeles riots. Two L.A. officers convicted on U.S. charges in King case
- Abstracts: Sprint seems to target AT&T in campaign. AT&T pitches high-tech future that won't arrive anytime soon
- Abstracts: Microsoft sets a new strategy for investments. Amazon buys stake in upstart Drugstore.com