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Commodity Prices, Options and Futures Behaviour: The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme - Softcover
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An analysis of futures and spot price volatility of agricultural commodities including an assessment, from a social welfare perspective, of a Mexican- Government-Futures-Scheme (ASERCA futures-scheme) were conducted in this research project. The agricultural commodities under study were corn and wheat. For the volatility analysis an implication of the theory of storage and the Samuelson effect were tested using a restricted version of the BEKK model. The storage implication is that supply-and-demand fundamentals affect the price volatility of commodities whereas, for the Samuelson effect, spot prices are thought to be more volatile than futures prices. The same model estimates were then compared to option implied volatility and composite forecast models in order to find out which is the best model in terms of forecast accuracy. For the social welfare analysis a utility function and a non- structural model (VAR) were used in order to quantify the overall gains for the Mexican economy of the ASERCA futures scheme.
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Commodity Prices, Options and Futures Behaviour
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LAP LAMBERT Academic Publishing Mai 2010, 2010
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ISBN 13: 9783838363387
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -An analysis of futures and spot price volatility of agricultural commodities including an assessment, from a social welfare perspective, of a Mexican- Government-Futures-Scheme (ASERCA futures-scheme) were conducted in this research project. The agricultural commodities under study were corn and wheat. For the volatility analysis an implication of the theory of storage and the Samuelson effect were tested using a restricted version of the BEKK model. The storage implication is that supply-and-demand fundamentals affect the price volatility of commodities whereas, for the Samuelson effect, spot prices are thought to be more volatile than futures prices. The same model estimates were then compared to option implied volatility and composite forecast models in order to find out which is the best model in terms of forecast accuracy. For the social welfare analysis a utility function and a non- structural model (VAR) were used in order to quantify the overall gains for the Mexican economy of the ASERCA futures scheme. 308 pp. Englisch. Seller Inventory # 9783838363387
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Commodity Prices, Options and Futures Behaviour : The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme
Published by
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838363388
ISBN 13: 9783838363387
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - An analysis of futures and spot price volatility of agricultural commodities including an assessment, from a social welfare perspective, of a Mexican- Government-Futures-Scheme (ASERCA futures-scheme) were conducted in this research project. The agricultural commodities under study were corn and wheat. For the volatility analysis an implication of the theory of storage and the Samuelson effect were tested using a restricted version of the BEKK model. The storage implication is that supply-and-demand fundamentals affect the price volatility of commodities whereas, for the Samuelson effect, spot prices are thought to be more volatile than futures prices. The same model estimates were then compared to option implied volatility and composite forecast models in order to find out which is the best model in terms of forecast accuracy. For the social welfare analysis a utility function and a non- structural model (VAR) were used in order to quantify the overall gains for the Mexican economy of the ASERCA futures scheme. Seller Inventory # 9783838363387
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Commodity Prices, Options and Futures Behaviour
Published by
LAP LAMBERT Academic Publishing, 2010
ISBN 10: 3838363388
ISBN 13: 9783838363387
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Benavides GuillermoDr. Guillermo Benavides is a financial researcher at the Central Bank of Mexico. He is also a Professor of Finance at Tec de Monterrey, ITAM and Universidad Panamericana. He has a BA in Economics from The Univer. Seller Inventory # 5416681
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Commodity Prices, Options and Futures Behaviour
Published by
LAP LAMBERT Academic Publishing Mai 2010, 2010
ISBN 10: 3838363388
ISBN 13: 9783838363387
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -An analysis of futures and spot price volatility of agricultural commodities including an assessment, from a social welfare perspective, of a Mexican- Government-Futures-Scheme (ASERCA futures-scheme) were conducted in this research project. The agricultural commodities under study were corn and wheat. For the volatility analysis an implication of the theory of storage and the Samuelson effect were tested using a restricted version of the BEKK model. The storage implication is that supply-and-demand fundamentals affect the price volatility of commodities whereas, for the Samuelson effect, spot prices are thought to be more volatile than futures prices. The same model estimates were then compared to option implied volatility and composite forecast models in order to find out which is the best model in terms of forecast accuracy. For the social welfare analysis a utility function and a non- structural model (VAR) were used in order to quantify the overall gains for the Mexican economy of the ASERCA futures scheme.VDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 308 pp. Englisch. Seller Inventory # 9783838363387
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Commodity Prices, Options and Futures Behaviour: The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme
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ISBN 13: 9783838363387
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