The information content of implied volatility in agricultural commodity markets
Article Abstract:
The incremental information content of lagged implied volatility is compared to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. The results indicate that the implied volatility for options on futures contracts in agricultural commodity markets provides relevant volatility information.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2003
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Survival of commodity trading advisors: 1990-2003
Article Abstract:
A study on the commodity trading advisors from 1990 to 2003 proves that the advisors who followed the strategies, which generate lower returns or exposed the funds higher risks found it difficult to survive.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2005
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The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
Article Abstract:
The efficacy of historical volatility in predicting the future volatility, by estimating regression, is analyzed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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