Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator

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Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator

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Karali, Berna
Dorfman, Jeffrey H.
Thurman, Walter N.

Abstract

Replaced with revised version of paper 07/15/08.

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Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida with number 6084.

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Date of creation: 2008
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Handle: RePEc:ags:aaea08:6084

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Koop, Gary & Tobias, Justin L., 2006. "Semiparametric Bayesian inference in smooth coefficient models," Journal of Econometrics, Elsevier, vol. 134(1), pages 283-315, September. [Downloadable!] (restricted)
Other versions:
- Gary Koop & Justin Tobias, 2003. "Semiparametric Bayesian inference in smooth coefficient models," Discussion Papers in Economics 04/18, Department of Economics, University of Leicester. [Downloadable!]
- Koop, Gary & Tobias, Justin, 2004. "Semiparametric Bayesian Inference in Smooth Coefficient Models," Staff General Research Papers 12202, Iowa State University, Department of Economics.
Aaron Smith, 2005. "Partially overlapping time series: a new model for volatility dynamics in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422. [Downloadable!]
Other versions:
- Smith, Aaron, 2004. "Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures," Working Papers 11978, University of California, Davis, Department of Agricultural and Resource Economics. [Downloadable!]
Good, Darrel L. & Irwin, Scott H. & Isengildina, Olga, 2006. "The Value of USDA Situation and Outlook Information in Hog and Cattle Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(02), August. [Downloadable!]
Other versions:
- Isengildina, Olga & Irwin, Scott H. & Good, Darrel L., 2005. "The Value of USDA Situation and Outlook Information in Hog and Cattle Markets," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19050, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
Robert S. Pindyck, 1994. "Inventories and the Short-Run Dynamics of Commodity Prices," NBER Working Papers 3295, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Pindyck, Robert S., 1990. "Inventories and the short-run dynamics of commodity prices," Working papers 3133-90., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
- Robert S. Pindyck, 1994. "Inventories and the Short-Run Dynamics of Commodity Prices," RAND Journal of Economics, The RAND Corporation, vol. 25(1), pages 141-159, Spring. [Downloadable!] (restricted)
Philip Garcia, 2004. "A selected review of agricultural commodity futures and options markets," European Review of Agricultural Economics, Oxford University Press for the Foundation for the European Review of Agricultural Economics, vol. 31(3), pages 235-272, September.
Ng, Victor K & Pirrong, Stephen Craig, 1994. "Fundamentals and Volatility: Storage, Spreads, and the Dynamics of Metals Prices," Journal of Business, University of Chicago Press, vol. 67(2), pages 203-30, April. [Downloadable!] (restricted)
Ederington, Louis H & Lee, Jae Ha, 1993. " How Markets Process Information: News Releases and Volatility," Journal of Finance, American Finance Association, vol. 48(4), pages 1161-91, September. [Downloadable!] (restricted)

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