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

Andreas Röthig and Carl Chiarella

Publications of Darmstadt Technical University, Institute for Business Studies (BWL) from Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)

Abstract: This article 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 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition regression models, we find 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.

Date: 2009
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Published in Darmstadt Discussion Papers in Economics . 167 (2009)

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http://tuprints.ulb.tu-darmstadt.de/4764

Related works:
Journal Article: 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 (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)
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