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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)

Abstract: 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)
Pages: 16
Date: 1990-08-05
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Working Paper: NONSTATIONARITY OF SOYBEAN FUTURES PRICE DISTRIBUTIONS: OPTION-BASED EVIDENCE (1990) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea90:270920

DOI: 10.22004/ag.econ.270920

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