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- Title
Delivery horizon and grain market volatility.
- Authors
Karali, Berna; Dorfman, Jeffrey H.; Thurman, Walter N.
- Abstract
We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via a smoothed Bayesian estimator. We find that futures price volatilities in these markets are affected by inventories, time to delivery, and the crop progress period and that there are important differences in the effects across delivery horizons. We also find that price volatility is higher before the harvest starts in most cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:846–873, 2010
- Subjects
MARKET volatility; AGRICULTURE; PRICES; FUTURES market; MARGIN requirements; DELIVERY of goods; INVENTORIES
- Publication
Journal of Futures Markets, 2010, Vol 30, Issue 9, p846
- ISSN
0270-7314
- Publication type
Article
- DOI
10.1002/fut.20449