Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market
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- Zhiguang Wang & Scott W. Fausti & Bashir A. Qasmi, 2012. "Variance risk premiums and predictive power of alternative forward variances in the corn market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(6), pages 587-608, June.
References listed on IDEAS
- Rosson, C. Parr, III, 2012. "C. Parr Rosson," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 44(03), August.
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- Trujillo-Barrera, Andres & Mallory, Mindy L. & Garcia, Philip, 2012. "Volatility Spillovers in U.S. Crude Oil, Ethanol, and Corn Futures Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(2), August.
- repec:eee:jimfin:v:77:y:2017:i:c:p:1-17 is not listed on IDEAS
- Dimitrios Bakas & Athanasios Triantafyllou, 2017. "The Impact of Uncertainty Shocks on the Volatility of Commodity Prices," Working Paper series 17-31, Rimini Centre for Economic Analysis.
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KeywordsVariance Risk Premium; Variance Swap; Model-free Variance; Implied Variance; Realized Variance; Corn VIX;
- Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness
- Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-18 (All new papers)
- NEP-FOR-2010-06-18 (Forecasting)
- NEP-RMG-2010-06-18 (Risk Management)
- NEP-UPT-2010-06-18 (Utility Models & Prospect Theory)
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