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Future volatility forecast in agricultural commodity markets

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  • Guimaraes, Jonathan S.
  • Cruz, Jose Cesar

Abstract

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Suggested Citation

  • Guimaraes, Jonathan S. & Cruz, Jose Cesar, 2017. "Future volatility forecast in agricultural commodity markets," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258480, Agricultural and Applied Economics Association.
  • Handle: RePEc:ags:aaea17:258480
    DOI: 10.22004/ag.econ.258480
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    File URL: http://ageconsearch.umn.edu/record/258480/files/Abstracts_17_06_02_23_56_44_21__104_235_53_83_0.pdf
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    References listed on IDEAS

    as
    1. Mark Britten-Jones & Anthony Neuberger, 2000. "Option Prices, Implied Price Processes, and Stochastic Volatility," Journal of Finance, American Finance Association, vol. 55(2), pages 839-866, April.
    2. Thorsten M. Egelkraut & Philip Garcia & Bruce J. Sherrick, 2007. "The Term Structure of Implied Forward Volatility: Recovery and Informational Content in the Corn Options Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 89(1), pages 1-11.
    3. repec:cup:cbooks:9781107034662 is not listed on IDEAS
    4. Egelkraut, Thorsten M. & Garcia, Philip, 2006. "Intermediate Volatility Forecasts Using Implied Forward Volatility: The Performance of Selected Agricultural Commodity Options," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(3), pages 1-21, December.
    5. Martin Martens & Jason Zein, 2004. "Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(11), pages 1005-1028, November.
    6. Szakmary, Andrew & Ors, Evren & Kyoung Kim, Jin & Davidson, Wallace III, 2003. "The predictive power of implied volatility: Evidence from 35 futures markets," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2151-2175, November.
    7. Ser-Huang Poon & Clive W.J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
    8. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
    9. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    10. Brooks,Chris, 2014. "Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9781107661455, December.
    11. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    12. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
    13. Robert S. Pindyck, 2001. "The Dynamics of Commodity Spot and Futures Markets: A Primer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-30.
    14. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Keywords

    Risk and Uncertainty; Marketing; Demand and Price Analysis;

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