The Distribution of Daily Changes in Commodity Futures Prices
Download full text from publisher
References listed on IDEAS
- Hellwig, Martin F., 1982.
"Rational expectations equilibrium with conditioning on past prices: A mean-variance example,"
Journal of Economic Theory,
Elsevier, pages 279-312.
- HELLWIG, Martin F., 1982. "Rational expectations equilibrium with conditioning on past prices: a mean-variance example," CORE Discussion Papers RP 480, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Samuelson, Paul A, 1976. "Is Real-World Price a Tale Told by the Idiot of Chance?," The Review of Economics and Statistics, MIT Press, vol. 58(1), pages 120-123, February.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- Rausser, Gordon C & Carter, Colin, 1983.
"Futures Market Efficiency in the Soybean Complex,"
The Review of Economics and Statistics,
MIT Press, vol. 65(3), pages 469-478, August.
- Rausser, Gordon C. & Carter, Colin A., 1982. "Futures market efficiency in the soybean complex," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt7d48x9qc, Department of Agricultural & Resource Economics, UC Berkeley.
- Gray, Roger W., 1960. "The Characteristic Bias in Some Thin Futures Markets," Food Research Institute Studies, Stanford University, Food Research Institute, issue 03.
- Mann, Jitendar S. & Heifner, Richard G., 1976. "The Distribution of Shortrun Commodity Price Movements," Technical Bulletins 158107, United States Department of Agriculture, Economic Research Service.
- Grossman, Sanford J & Stiglitz, Joseph E, 1980.
"On the Impossibility of Informationally Efficient Markets,"
American Economic Review,
American Economic Association, vol. 70(3), pages 393-408, June.
- Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Raymond M. Leuthold, 1974. "The Price Performance on the Futures Market of a Nonstorable Commodity: Live Beef Cattle," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 56(2), pages 271-279.
- 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.
- Elton, Edwin J & Gruber, Martin J & Rentzler, Joel, 1984. "Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market," The Review of Economics and Statistics, MIT Press, vol. 66(1), pages 129-137, February.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kidd, Willis V. & Brorsen, B. Wade, 2004. "Why have the returns to technical analysis decreased?," Journal of Economics and Business, Elsevier, vol. 56(3), pages 159-176.
- Wu, Feng & Guan, Zhengfei, 2009. "The Volatility Spillover Effects and Optimal Hedging Strategy in the Corn Market," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49453, Agricultural and Applied Economics Association.
- Lei, Li-Fen, 1992. "Using futures and option contracts to manage price and quantity risk: A case of corn farmers in central Iowa," ISU General Staff Papers 1992010108000011326, Iowa State University, Department of Economics.
- Duncan, Steven Scott, 1988. "The relevant forecast of variance of income for marketing decisions under uncertainty," ISU General Staff Papers 198801010800009839, Iowa State University, Department of Economics.
- Tabesh, Hamid, 1987. "Hedging price risk to soybean producers with futures and options: a case study," ISU General Staff Papers 1987010108000010306, Iowa State University, Department of Economics.
- Dannemann, Tebbe & Prehn, Soren & Brümmer, Bernhard, 2014. "Optionshandel Und Maispreisvolatilitat: Does the Tail Wag the Dog?," 54th Annual Conference, Goettingen, Germany, September 17-19, 2014 187371, German Association of Agricultural Economists (GEWISOLA).
- Garcia, Philip & Hudson, Michael A. & Waller, Mark L., 1988. "The Pricing Efficiency Of Agricultural Futures Markets: An Analysis Of Previous Research Results," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 20(01), July.
More about this item
KeywordsFutures prices; efficient markets; random walk; seasonality; Consumer/Household Economics; Demand and Price Analysis;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:uerstb:156817. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search). General contact details of provider: http://edirc.repec.org/data/ersgvus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.