Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

Andreas Röthig and Carl Chiarella

Journal of Futures Markets, 2007, vol. 27, issue 8, 719-737

Abstract: This study explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 through December 27, 2005, the authors reject linearity in all of these markets. Using smooth transition regression models, the authors found a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 28:719–737, 2007

Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://hdl.handle.net/

Related works:
Working Paper: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2009)
Working Paper: Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models (2007)
Working Paper: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2006)
Working Paper: Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models (2006)
Working Paper: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models (2006)
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:wly:jfutmk:v:27:y:2007:i:8:p:719-737

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().