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- Title
The Term Structure of Grain Futures Prices: Full-Information Gaussian and Wavelet Transform Approaches.
- Authors
Power, Gabriel J.; Turvey, Calum G.
- Abstract
Futures markets play an important role in commodity risk management. A persistent question is how to fully exploit the information contained in the constellation of futures prices for different maturity contracts. We estimate term structure models for Chicago Board of Trade wheat, corn, and soybean futures using a more general N-factor specification. We find that a three-factor model improves on previously used two-factor models but that using four or more factors is not helpful. Finally, pre-filtering the data to remove very short-run mean-zero noise (using a wavelet transform approach) appears to improve model fit under backwardation.
- Subjects
GRAIN; FUTURES; GRAIN trade; WAVELETS (Mathematics); HARMONIC analysis (Mathematics)
- Publication
Journal of Agricultural & Resource Economics, 2007, Vol 32, Issue 3, p461
- ISSN
1068-5502
- Publication type
Article