Forecasting Fed Cattle, Feeder Cattle, And Corn Cash Price Volatility: The Accuracy Of Time Series, Implied Volatility, And Composite Approaches
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DOI: 10.22004/ag.econ.15449
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- Manfredo, Mark R. & Leuthold, Raymond M. & Irwin, Scott H., 2001. "Forecasting Fed Cattle, Feeder Cattle, and Corn Cash Price Volatility: The Accuracy of Time Series, Implied Volatility, and Composite Approaches," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 33(3), pages 523-538, December.
References listed on IDEAS
- Beckers, Stan, 1981. "Standard deviations implied in option prices as predictors of future stock price variability," Journal of Banking & Finance, Elsevier, vol. 5(3), pages 363-381, September.
- Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
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Cited by:
- Benavides, Guillermo & Capistrán, Carlos, 2012.
"Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts,"
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- Benavides Guillermo & Capistrán Carlos, 2009. "Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts," Working Papers 2009-01, Banco de México.
- Benavides Guillermo, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Working Papers 2010-12, Banco de México.
- Bekkerman, Anton & Pelletier, Denis, 2009. "Basis Volatilities of Corn and Soybean in Spatially Separated Markets: The Effect of Ethanol Demand," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49281, Agricultural and Applied Economics Association.
- Benavides Guillermo, 2020. "Asymmetric Volatility Effects in Risk Management: An Empirical Analysis using a Stock Index Futures," Working Papers 2020-10, Banco de México.
- Guillermo Benavides, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(2), pages 1-27.
- Guillermo Benavides, 2021. "Asymmetric Volatility Relevance in Risk Management: An Empirical Analysis using Stock Index Futures," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(TNEA), pages 1-18, Septiembr.
- Rosa, Franco & Vasciaveo, Michela, 2012. "Volatility in US and Italian agricultural markets, interactions and policy evaluation," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122530, European Association of Agricultural Economists.
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