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Calibration of Option-Based Probability Assessments in Agricultural Commodity Markets

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  1. Ivanova, Vesela & Puigvert Gutiérrez, Josep Maria, 2014. "Interest rate forecasts, state price densities and risk premium from Euribor options," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 210-223.
  2. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143.
  3. Sherrick, Bruce J. & Irwin, Scott H. & Forster, D. Lynn, 1990. "Nonstationarity Of Soybean Futures Price Distributions: Option-Based Evidence," Illinois Agricultural Economics Staff Paper 244666, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
  4. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
  5. Thomas Busch, 2008. "Testing the martingale restriction for option implied densities," Review of Derivatives Research, Springer, vol. 11(1), pages 61-81, March.
  6. Eidman, V., 1989. "Quantifying and managing risk in agriculture," 1989 Annual Conference, September 25-27, Bloemfontein, South Africa 314723, Agricultural Economics Association of South Africa (AEASA).
  7. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," Center for Financial Institutions Working Papers 99-05, Wharton School Center for Financial Institutions, University of Pennsylvania.
  8. Jukka Sihvonen & Sami Vähämaa, 2014. "Forward‐Looking Monetary Policy Rules and Option‐Implied Interest Rate Expectations," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(4), pages 346-373, April.
  9. Andres Trujillo-Barrera & Philip Garcia & Mindy L Mallory, 2018. "Short-term price density forecasts in the lean hog futures market," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 45(1), pages 121-142.
  10. Ricardo Crisóstomo, 2021. "Estimating real‐world probabilities: A forward‐looking behavioral framework," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1797-1823, November.
  11. Carl R. Zulauf & E. Neal Blue, 2003. "Has the Market's Estimate of Crop Price Variability Increased since the 1996 Farm Bill?," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 25(1), pages 145-153.
  12. Miranda, Mario J & Glauber, Joseph W, 1993. "Estimation of Dynamic Nonlinear Rational Expectations Models of Primary Commodity Markets with Private and Government Stockholding," The Review of Economics and Statistics, MIT Press, vol. 75(3), pages 463-470, August.
  13. Christoffersen, Peter & Jacobs, Kris & Chang, Bo Young, 2013. "Forecasting with Option-Implied Information," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 581-656, Elsevier.
  14. Shackleton, Mark B. & Taylor, Stephen J. & Yu, Peng, 2010. "A multi-horizon comparison of density forecasts for the S&P 500 using index returns and option prices," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2678-2693, November.
  15. David S. Bates, 1997. "Post-'87 Crash Fears in S&P 500 Futures Options," NBER Working Papers 5894, National Bureau of Economic Research, Inc.
  16. repec:wsr:wpaper:y:2019:i:189 is not listed on IDEAS
  17. Bisht Deepak & Laha, A. K., 2017. "Assessment of Density Forecast for Energy Commodities in Post-Financialization Era," IIMA Working Papers WP 2017-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  18. John B. Carlson & Ben R. Craig & William R. Melick, 2005. "Recovering market expectations of FOMC rate changes with options on federal funds futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(12), pages 1203-1242, December.
  19. Siddiqi, Hammad, 2015. "Analogy Based Valuation of Commodity Options," Risk and Sustainable Management Group Working Papers 197334, University of Queensland, School of Economics.
  20. Buschena, David E. & Ziegler, Lee, 1999. "Reliability Of Options Markets For Crop Revenue Insurance Rating," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 24(2), pages 1-26, December.
  21. Mazzocco, Michael A. & Sherrick, Bruce J. & Sonka, Steven T., 1992. "The Role of Decision Maker Expectations in Valuing Climate Information," WAEA/ WFEA Conference Archive (1929-1995) 321338, Western Agricultural Economics Association.
  22. Jaqueline Terra Moura Marins, 2020. "Option-Based Risk Aversion Indicators for Predicting Currency Crises in Emerging Markets," Working Papers Series 515, Central Bank of Brazil, Research Department.
  23. Liu, Xiaoquan & Shackleton, Mark B. & Taylor, Stephen J. & Xu, Xinzhong, 2007. "Closed-form transformations from risk-neutral to real-world distributions," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1501-1520, May.
  24. Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
  25. Julius Loermann, 2021. "The impact of CHF/EUR exchange rate uncertainty on Swiss exports to the Eurozone: evidence from a threshold VAR," Empirical Economics, Springer, vol. 60(3), pages 1363-1385, March.
  26. Josep Puigvert-Gutiérrez & Rupert Vincent-Humphreys, 2012. "A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 2(1), pages 1-31, June.
  27. Schnitkey, Gary D. & Sherrick, Bruce J. & Irwin, Scott H., 2002. "Evaluation Of Risk Reductions Associated With Multi-Periol Crop Insurance Products," 2002 Annual meeting, July 28-31, Long Beach, CA 19778, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  28. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
  29. David Buschena & Kevin McNew, 2008. "Subsidized Options in a Thin Market: A Case Study of the Dairy Options Pilot Program Introduction," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 30(1), pages 103-119.
  30. 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.
  31. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
  32. William R. Melick & Charles P. Thomas, 1996. "Using options prices to infer PDF'S for asset prices: an application to oil prices during the Gulf crisis," International Finance Discussion Papers 541, Board of Governors of the Federal Reserve System (U.S.).
  33. repec:wyi:journl:002064 is not listed on IDEAS
  34. Umarov, Alisher & Sherrick, Bruce J., 2005. "Farmers' Subjective Yield Distributions: Calibration and Implications for Crop Insurance Valuation," 2005 Annual meeting, July 24-27, Providence, RI 19396, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  35. An-Sing Chen & Yan-Zhen Liu, 2008. "Enhancing hedging performance with the spanning polynomial projection," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 605-617.
  36. Jaqueline Terra Moura Marins, 2024. "Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run," Working Papers Series 588, Central Bank of Brazil, Research Department.
  37. Egorov, Alexei V. & Hong, Yongmiao & Li, Haitao, 2006. "Validating forecasts of the joint probability density of bond yields: Can affine models beat random walk?," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 255-284.
  38. de Vincent-Humphreys, Rupert & Noss, Joseph, 2012. "Estimating probability distributions of future asset prices: empirical transformations from option-implied risk-neutral to real-world density functions," Bank of England working papers 455, Bank of England.
  39. Silva, Elvria & Kahl, Kandice, 1991. "Reliability Of Soybean And Corn Option-Based Probability Assessments As Option Markets Mature," 1991 Annual Meeting, August 4-7, Manhattan, Kansas 271196, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  40. Schmitz, Jochen & Ledebur, Oliver von, 2012. "The 2007 emerging corn price surge revisited – Was it expected or a large surprise?," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 123971, International Association of Agricultural Economists.
  41. Siddiqi, Hammad, 2015. "Analogy based Valuation of Commodity Options," MPRA Paper 61083, University Library of Munich, Germany.
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