Empirical Tests of a Simple Pricing Model for Sugar Futures

Theodore E. Nijman and Roel Beetsma

Annals of Economics and Statistics, 1991, issue 24, 121-131

Abstract: In this paper we test the empirical implications of a simple pricing model for commodity futures for the marginal process of prices of sugar futures. According to the pricing model, the futures price bias depends linearly on the conditional variance. We find significant coefficients, from monthly as well as daily data, if the conditional variance is modelled using the GARCH-M model. These estimates imply contango in the futures marked and a net hedging demand on the long side of it.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.jstor.org/stable/20075845 (text/html)

Related works:
Working Paper: Empirical tests of a simple pricing model for sugar futures (1993)
Working Paper: Empirical tests of a simple pricing model for sugar futures (1991)
Working Paper: EMPIRICAL TESTS OF A SIMPLE PRICING MODEL FOR SUGAR FUTURES (1990)
Working Paper: Empirical tests of a simple pricing model for sugar futures (1990)
Working Paper: Empirical tests of a simple pricing model for sugar futures (1990)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1991:i:24:p:121-131

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().