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Bayesian Analysis of a Comprehensive Model for Agricultural Futures

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  • Schmitz, Adam
  • ZhiguangWang,

Abstract

Agricultural futures price features stochastic volatility, seasonal spot price volatility, and stochastic cost-of-carry. We propose a single comprehensive model that inludes all these features. We apply the proposed model to analyze the corn futures market from January 3rd, 1989, to December 31st, 2008. We conduct parameter estimation using Markov chain Monte Carlo (MCMC) with a novel dynamic tuning scheme. We also employ a parallel MCMC scheme for state variable estimation. Parameter estimates and model errors indicate the comprehensive model to be e_x000B_ective for modeling corn futures.

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Handle: RePEc:ags:n13414:285809
DOI: 10.22004/ag.econ.285809
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