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.

Models, Pork, Futures market, Futures markets, Equilibrium (Economics)

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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.

Securities and Commodity Exchanges, Security and commodity exchanges, Securities Exchanges, Wheat, Wheat Farming, Winter Wheat, Exchanges, Hedging (Finance), Securities, Chicago, Illinois

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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.

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