Parametric Bootstrap Tests for Futures Price and Implied Volatility Biases with Application to Rating Livestock Margin Insurance for Dairy Cattle
Download full text from publisher
References listed on IDEAS
- Brittain, Lee & Garcia, Philip & Irwin, Scott H., 2011.
"Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting,"
Journal of Agricultural and Resource Economics,
Western Agricultural Economics Association, vol. 36(1), April.
- Brittain, Lee & Garcia, Philip & Irwin, Scott H., 2009. "Live and Feeder Cattle Options Markets: Returns, Risk, and Volatility Forecasting," 2009 Conference, April 20-21, 2009, St. Louis, Missouri 53038, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- J. Frank & P. Garcia, 2009.
"Time-varying risk premium: further evidence in agricultural futures markets,"
Taylor & Francis Journals, vol. 41(6), pages 715-725.
- Frank, Julieta & Garcia, Philip, 2005. "Time-Varying Risk Premium or Informational Inefficiency? Further Evidence in Agricultural Futures Markets," 2005 Conference, April 18-19, 2005, St. Louis, Missouri 19051, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Andrew McKenzie & Michael Thomsen & Josh Phelan, 2007. "How do you straddle hogs and pigs? Ask the Greeks!," Applied Financial Economics, Taylor & Francis Journals, vol. 17(7), pages 511-520.
- Urcola, Hernan A. & Irwin, Scott H., 2011. "Are Agricultural Options Overpriced?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 36(1), April.
- Bozic, Marin & Newton, John & Thraen, Cameron S. & Gould, Brian W., 2012. "Mean-reversion in Income over Feed Cost Margins:Evidence and Implications for Managing Margin Risk by U.S. Dairy Producers," Staff Papers 132379, University of Minnesota, Department of Applied Economics.
- 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.
More about this item
Keywordsparametric bootstrap; risk premium; volatility bias; revenue insurance; LGM-Dairy; Demand and Price Analysis; Research Methods/ Statistical Methods; Risk and Uncertainty;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AGR-2012-10-20 (Agricultural Economics)
- NEP-ALL-2012-10-20 (All new papers)
- NEP-ECM-2012-10-20 (Econometrics)
- NEP-IAS-2012-10-20 (Insurance Economics)
- NEP-RMG-2012-10-20 (Risk Management)
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:umaesp:135077. 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/daumnus.html .