Do Inventory and Time-to-Delivery Effects Vary Across Futures Contracts? Insights from a Smoothed Bayesian Estimator

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.


Subject(s):
Issue Date:
2008
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/6084
Total Pages:
33
Note:
Replaced with revised version of paper 07/15/08.
Series Statement:
Selected Paper
457966




 Record created 2017-04-01, last modified 2017-08-23

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