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Models of the Variability of Futures Prices: Specification and Evaluation

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  • Streeter, Deborah H.
  • Tomek, William G.

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  • Streeter, Deborah H. & Tomek, William G., 1989. "Models of the Variability of Futures Prices: Specification and Evaluation," Staff Papers 197571, Cornell University, Department of Applied Economics and Management.
    • Handle: RePEc:ags:cudasp:197571
    DOI: 10.22004/ag.econ.197571
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    References listed on IDEAS

    as
    1. Larson, Arnold B., 1961. "Estimation of Hedging and Speculative Positions in Futures Markets," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 2(3), pages 1-10.
    2. Rutledge, D J S, 1976. "A Note on the Variability of Futures Prices," The Review of Economics and Statistics, MIT Press, vol. 58(1), pages 118-120, February.
    3. Paul, Allen B., 1976. "Treatment of Hedging in Commodity Market Regulation," Technical Bulletins 158109, United States Department of Agriculture, Economic Research Service.
    4. H. E. Doran & J. J. Quilkey, 1972. "Harmonic Analysis of Seasonal Data: Some Important Properties," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 54(4_Part_1), pages 646-651.
    5. McAleer, Michael & Pagan, Adrian R & Volker, Paul A, 1985. "What Will Take the Con out of Econometrics?," American Economic Review, American Economic Association, vol. 75(3), pages 293-307, June.
    6. Peck, Anne E., 1982. "Estimation of Hedging and Speculative Positions in Futures Markets Revisited," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 18(2), pages 1-16.
    7. Hendry, David F. & Richard, Jean-Francois, 1982. "On the formulation of empirical models in dynamic econometrics," Journal of Econometrics, Elsevier, vol. 20(1), pages 3-33, October.
    8. Spanos,Aris, 1986. "Statistical Foundations of Econometric Modelling," Cambridge Books, Cambridge University Press, number 9780521269124, September.
    9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    10. Ronald W. Anderson & Jean-Pierre Danthine, 1983. "The Time Pattern of Hedging and the Volatility of Futures Prices," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 50(2), pages 249-266.
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