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American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) >
2008 Annual Meeting, July 27-29, 2008, Orlando, Florida >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/6084
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| Title: | Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator |
| Authors: | Karali, Berna
Dorfman, Jeffrey H.
Thurman, Walter N. |
| Authors (Email): | Karali, Berna (bkarali@uga.edu)
Dorfman, Jeffrey H. (jdorfman@uga.edu)
Thurman, Walter N. (wally_thurman@ncsu.edu) |
| Keywords: | volatility
theory of storage
futures markets
Bayesian econometrics
lumber |
| Issue Date: | 2008 |
| Series/Report no.: | Selected Paper
457966 |
| Abstract: | We apply a new Bayesian approach to multiple-contract futures data to allow the inventory and time-to-delivery effects on volatility to vary across contracts. We find a varying negative relationship between lumber inventories and lumber futures price volatility. The inventory effect is smaller for the most recent contracts possibly due to increasing inventories over time. While this approach reveals the downward bias on the inventory effect introduced by restricting this parameter across contracts, it does not change the time-to-delivery effect. |
| Notes: | Replaced with revised version of paper 07/15/08. |
| URI: | http://purl.umn.edu/6084 |
| Institution/Association: | American Agricultural Economics Association>2008 Annual Meeting, July 27-29, 2008, Orlando, Florida |
| Total Pages: | 33 |
| Collections: | 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida
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| 457966a.pdf | | 472Kb | PDF | View/Open |
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