An Integrated Approach to Modeling Price Volatility in the Live Cattle Futures Market PDF Download
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Author: Kevin J. Evans
Publisher:
ISBN:
Category : Cattle
Languages : en
Pages : 17
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Author: Kevin J. Evans
Publisher:
ISBN:
Category : Cattle
Languages : en
Pages : 17
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Author: Kevin Joe Evans
Publisher:
ISBN:
Category :
Languages : en
Pages : 332
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Author: Michael Gregory Strader
Publisher:
ISBN:
Category :
Languages : en
Pages : 116
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Author: Aureliano A. Bressan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This paper studies the applicability of time series models as a decision tool of buy and sell orders of live cattle futures contracts in the Brazilian Futures Market (BMamp;F), on dates close to expiration. The models considered are: ARIMA, Neural Networks and Dynamic Linear Models - DLM (this in the classic and bayesian approach). Weekly data, of the spot and futures markets, from 1996 to 1999, are used to calculate the forecasts. The main purpose is to calculate the returns, in buy/sell orders of live cattle futures between 1998 and 1999, in order to show the potentials or limitations of each model. The results show positive returns in almost all contracts analyzed, indicating the potential of the models as a decision tool in operating with futures contracts close to expiration date, with distinction on the performance of the Classic DLM and ARIMA models, although some differences in forecasting accuracy.
Author: Chien-Ju Chou
Publisher:
ISBN:
Category : Cattle
Languages : en
Pages : 266
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Author: Jean-Paul Chavas
Publisher: University of Chicago Press
ISBN: 022612892X
Category : Business & Economics
Languages : en
Pages : 394
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"The conference was organized by the three editors of this book and took place on August 15-16, 2012 in Seattle."--Preface.
Author: New York State Library
Publisher:
ISBN:
Category : Government publications
Languages : en
Pages : 1012
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Book Description
A monthly compilation of New York State documents acquired by the New York State Library. Accumulated annual versions are available electronically. Citations are arranged in New York State Document Classification System (NYDoCS) call number order. Each citation is assigned a sequential number beginning with 1 in the first issue of each year.
Author: Craig Pirrong
Publisher: Cambridge University Press
ISBN: 1139501976
Category : Business & Economics
Languages : en
Pages : 238
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Book Description
Commodities have become an important component of many investors' portfolios and the focus of much political controversy over the past decade. This book utilizes structural models to provide a better understanding of how commodities' prices behave and what drives them. It exploits differences across commodities and examines a variety of predictions of the models to identify where they work and where they fail. The findings of the analysis are useful to scholars, traders and policy makers who want to better understand often puzzling - and extreme - movements in the prices of commodities from aluminium to oil to soybeans to zinc.
Author: Library of Congress. Exchange and Gift Division
Publisher:
ISBN:
Category : State government publications
Languages : en
Pages : 782
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Author: NCR-134 (Committee : U.S.). Conference
Publisher:
ISBN:
Category : Agricultural prices
Languages : en
Pages : 466
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