The distribution of standardized futures price changes
Article Abstract:
An exponentially weighted moving average (EWMA) model is used to standardize futures returns and applied to test for convergence to normal distribution of standardized and raw returns. Daily futures prices of 31 commodities are used in the study. The EWMA model is found to be as effective as the previously used GARCH model. Rescaled returns are found to be less leptokurtic than raw returns, but not normal. Most commodities can be treated by a finite variance process. Additional factors for observed leptokurticity may be present, such as the effect of day of the week and non-stationarity of scale.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1993
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Conditional heteroskedasticity, asymmetry, and option pricing
Article Abstract:
An asymmetric generalized autoregressive conditional heteroskedasticity model is used to study price changes in Kansas City wheat futures. Monte Carlo simulation showed that the use of the Black-Scholes option pricing model results in bias estimates of deep in-the-money put and call options and deep out-of-the-money put options.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1995
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Effects of reduced government deficiency payments on post-harvest wheat marketing strategies
Article Abstract:
Wheat farmers make less money when government deficiency payments are decreased after the harvest. The best strategy is to sell the wheat at the time it is harvested.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2000
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