Non-linearities in the relationship of agricultural futures prices
β Scribed by Beckmann, J.; Czudaj, R.
- Book ID
- 125480815
- Publisher
- Oxford University Press
- Year
- 2013
- Tongue
- English
- Weight
- 247 KB
- Volume
- 41
- Category
- Article
- ISSN
- 0165-1587
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
hile the rationality of futures prices in financial and exchange markets has W received considerable empirical attention, commodity futures have been comparatively disregarded. Section I of this article contains a brief summary of the literature on tests of rationality on commodity futures. Such att
he recent introduction of options on agricultural futures has fueled a growing T research interest on issues ranging from risk-return characteristics of option hedging strategies to the valuation of commodity options. Valuation models for options on common stocks have been extensively used ever sinc
rading in financial fumes currently accounts for roughly 35% of all futures T contracts, and it promises to become an even larger share of the market. Among those assets in which futures contracts are now traded are stock indices. Futures contracts on the Vdue4he Composite Average opened on Februar
## Abstract This article analyzes the relationship between electricity futures prices and naturalβgas futures prices. We find that the daily settlement prices of New York Mercantile Exchange's (NYMEX's) CaliforniaβOregon Border (COB) and Palo Verde (PV) electricity futures contracts are cointegrate