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Impact of WASDE reports on implied volatility in corn and soybean markets

Citations

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Cited by:

  1. Darby, Jessica L. & McKenzie, Andrew M., 2015. "Information Content of USDA Rice Reports and Price Reactions of Rice Futures," 2015 Conference, April 20-21, 2015, St. Louis, Missouri 285835, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  2. Cao, An N.Q. & Heckelei, Thomas & Ionici, Octavian & Robe, Michel A., 2024. "USDA reports affect the stock market, too," Journal of Commodity Markets, Elsevier, vol. 34(C).
  3. Goyal, Raghav & Adjemian, Michael K. & Glauber, Joseph & Meyer, Seth, 2023. "Decomposing USDA Ending Stocks Forecast Errors," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 48(2), May.
  4. Isengildina-Massa, Olga & Cao, Xiang & Karali, Berna & Irwin, Scott H. & Adjemian, Michael & Johansson, Robert C., 2021. "When does USDA information have the most impact on crop and livestock markets?," Journal of Commodity Markets, Elsevier, vol. 22(C).
  5. Adjemian, Michael K. & Bruno, Valentina & Robe, Michel A. & Wallen, Jonathan, "undated". "What Drives Volatility Expectations in Grain and Oilseed Markets?," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258452, Agricultural and Applied Economics Association.
  6. Olga Isengildina Massa & Berna Karali & Scott H. Irwin, 2024. "What do we know about the value and market impact of the US Department of Agriculture reports?," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 46(2), pages 698-736, June.
  7. Marin Bozic, 2010. "Pricing Options on Commodity Futures: The Role of Weather and Storage," Working Papers 1003, The Institute of Economics, Zagreb.
  8. Bunek, Gabriel D. & Janzen, Joseph P., 2024. "Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility," Journal of Commodity Markets, Elsevier, vol. 33(C).
  9. Adrian Fernandez‐Perez & Raquel López, 2023. "The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1499-1530, November.
  10. repec:ags:aaea22:343895 is not listed on IDEAS
  11. Sun, Zhining & Katchova, Ani & Giri, Anil K. & Subedi, Dipak, 2024. "The Announcement Effect of MFP and CFAP on Futures Commodity Prices," 2024 Annual Meeting, July 28-30, New Orleans, LA 343895, Agricultural and Applied Economics Association.
  12. Kauffman, Nathan S., 2013. "Have Extended Trading Hours Made Agricultural Commodity Markets More Risky?," 2013 Conference, April 22-23, 2013, St. Louis, Missouri 285787, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  13. Raghav Goyal & Michael K. Adjemian, 2023. "Information rigidities in USDA crop production forecasts," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(5), pages 1405-1425, October.
  14. Capitani, Daniel H D & Mattos, Fabio L. & Cruz, Jose Cesar & Silva, Renato Moraes & Franco Da Silveira, Rodrigo Lanna, 2024. "The Reaction Of Corn Futures Prices To U.S. And Brazilian Crop Reports," 2024 Annual Meeting, July 28-30, New Orleans, LA 343571, Agricultural and Applied Economics Association.
  15. repec:isu:genstf:201501010800005902 is not listed on IDEAS
  16. Ferguson, Shon & Ubilava, David, 2022. "Global commodity market disruption and the fallout," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(04), January.
  17. Sun, Zhining & Katchova, Ani, 2024. "Herding in the WASDE," 2024 Annual Meeting, July 28-30, New Orleans, LA 344064, Agricultural and Applied Economics Association.
  18. An N. Q. Cao & Michel A. Robe, 2022. "Market uncertainty and sentiment around USDA announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
  19. repec:ags:aaea22:344064 is not listed on IDEAS
  20. Bozic, Marin & Fortenbery, T. Randall, "undated". "Pricing Options on Commodity Futures: The Role of Weather and Storage," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103638, Agricultural and Applied Economics Association.
  21. Milacek, Trent T. & Brorsen, B. Wade, 2013. "How Much Would It Be Worth to Know the WASDE Report In Advance?," 2013 Conference, April 22-23, 2013, St. Louis, Missouri 285789, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  22. Xie, Ran & Isengildina-Massa, Olga Isengildina- & Sharp, Julia L., 2014. "Quantifying Public and Private Information Effects on the Cotton Market," 2014 Conference, April 21-22, 2014, St. Louis, Missouri 285815, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  23. Goyal, Raghav & Adjemian, Michael K., 2022. "Information Rigidities in USDA Forecasts," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322339, Agricultural and Applied Economics Association.
  24. repec:ags:aaea22:343571 is not listed on IDEAS
  25. Rodrigo Lanna Franco da Silveira & Renato Moraes Silva & Fabio L. Mattos & José César Cruz Júnior & Daniel Henrique Dario Capitani, 2025. "The Reaction of Corn Futures Markets to US and Brazilian Crop Reports," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(9), pages 1298-1323, September.
  26. Yao Yang & Andrew McKenzie, 2025. "Do Corn Options Update Volatility Expectations in the Wake of USDA Reports?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1852-1868, October.
  27. Yang, Yao & McKenzie, Andrew, 2024. "The Impacts of USDA Reports on Pre-Harvest Volatility Expectations: the Case of Corn New Crop Futures," 2024 Conference, April 22-23, 2024, St. Louis, Missouri 379014, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  28. McKenzie, Andrew M. & Ke, Yangmin, 2022. "How do USDA announcements affect international commodity prices?," Journal of Commodity Markets, Elsevier, vol. 28(C).
  29. Andrew M. McKenzie & Jessica L. Darby, 2017. "Information Content of USDA Rice Reports and Price Reactions of Rice Futures," Agribusiness, John Wiley & Sons, Ltd., vol. 33(4), pages 552-568, September.
  30. Tianyang Zhang & Ziran Li, 2022. "Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 313-337, March.
  31. Arnade, Carlos & Hoffman, Linwood & Effland, Anne, "undated". "The Impact of Public Information on Commodity Market Performance: The Response of Corn Futures to USDA Corn Production Forecasts," USDA Miscellaneous 313488, United States Department of Agriculture.
  32. Covindassamy, Genevre & Robe, Michel A. & Wallen, Jonathan, 2016. "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers) 8588, Inter-American Development Bank.
  33. Adjemian, Michael K. & Bruno, Valentina G. & Robe, Michel A., 2016. "What Drives Volatility Expectations in Grain Markets?," 2016 Conference, April 18-19, 2016, St. Louis, Missouri 285861, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  34. McPhail, Lihong Lu & Babcock, Bruce A., 2008. "Short-Run Price and Welfare Impacts of Federal Ethanol Policies," Hebrew University of Jerusalem Archive 37020, Hebrew University of Jerusalem.
  35. Zeeshan Mustafa & Giuliano Vitali & Ray Huffaker & Maurizio Canavari, 2024. "A systematic review on price volatility in agriculture," Journal of Economic Surveys, Wiley Blackwell, vol. 38(1), pages 268-294, February.
  36. López, Raquel, 2018. "The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments," Energy Economics, Elsevier, vol. 72(C), pages 356-364.
  37. Roberto Andreotti Bodra & Afonso De Campos Pint, 2014. "Modelo De Volatilidade Estocástica Com Saltos Aplicado A Commodities Agrícolas," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 142, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  38. Dominik Boos, 2024. "Risky times: Seasonality and event risk of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 767-783, May.
  39. Nathan Kauffman, 2013. "Have extended trading hours made agricultural commodity markets riskier?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 67-94.
  40. Lusk, Jayson L., "undated". "From Farm Income to Food Consumption: Valuing USDA Data Products," C-FARE Reports 266593, Council on Food, Agricultural, and Resource Economics (C-FARE).
  41. Goswami, Alankrita & Karali, Berna, 2019. "Does a Nexus Exist between Implied Volatility and Storage Regimes in Agricultural Commodities?," 2019 Conference, April 15-16, 2019, Minneapolis, Minnesota 309627, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  42. Cao, An N.Q. & Ionici, Octavian & Robe, Michel A., 2022. "USDA Announcements and the Stock Prices of Food-Sector Companies," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322062, Agricultural and Applied Economics Association.
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