NONSTATIONARITY OF SOYBEAN FUTURES PRICE DISTRIBUTIONS: OPTION-BASED EVIDENCE
Bruce Sherrick (),
Scott H. Irwin and
D. Lynn Forster
No 270920, 1990 Annual meeting, August 5-8, Vancouver, Canada from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)
No-Arbitrage option pricing models are used to estimate ex ante soybean futures price distributions. Volatility measures of these distributions are modeled in an endogenous-switchpoint regression as functions of price level and time-to-maturity. Results indicate volatility measures are not stationary, and exhibit regime dependent influences of time-to-maturity and price level.
Keywords: Crop Production/Industries; Demand and Price Analysis (search for similar items in EconPapers)
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Working Paper: NONSTATIONARITY OF SOYBEAN FUTURES PRICE DISTRIBUTIONS: OPTION-BASED EVIDENCE (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea90:270920
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