Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices

DeeVon Bailey, B Brorsen and James Richardson ()

Journal of Agricultural and Applied Economics, 1984, vol. 16, issue 2, 109-116

Abstract: A dynamic model of daily cash and futures prices for cotton was developed using time series analysis. The time series model was included in a recursive Monte Carlo simulation model. Validation of the model was performed with a stochastic, dynamic simulation of the estimated model over the observation period 1975-1982 and with a static, deterministic out-of-sample forecast from December 9, 1981 through March 9, 1982. The model was then used to incorporate futures trading strategies into a policy simulation model.

Date: 1984
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Journal Article: DYNAMIC STOCHASTIC SIMULATION OF DAILY CASH AND FUTURES COTTON PRICES (1984)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jagaec:v:16:y:1984:i:02:p:109-116_01

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