Parametric Bootstrap Tests for Futures Price and Implied Volatility Biases with Application to Rating Livestock Margin Insurance for Dairy Cattle
Author
Abstract
Suggested Citation
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,"
Applied Economics,
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
Keywords
parametric bootstrap; risk premium; volatility bias; revenue insurance; LGM-Dairy; Demand and Price Analysis; Research Methods/ Statistical Methods; Risk and Uncertainty;NEP fields
This 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)
Statistics
Access and download statisticsCorrections
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 .
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 CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
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.