Delivery horizon and grain market volatility berna karali

dc.contributor.author	Karali, B	en
dc.contributor.author	Dorfman, JH	en
dc.contributor.author	Thurman, WN	en
dc.date.accessioned	2014-06-06T06:49:44Z
dc.date.available	2014-06-06T06:49:44Z
dc.date.issued	2010	en
dc.identifier.issn	02707314	en
dc.identifier.uri	http://dx.doi.org/10.1002/fut.20449	en
dc.identifier.uri	http://62.217.125.90/xmlui/handle/123456789/4750
dc.title	Delivery horizon and grain market volatility berna karali	en
heal.type	journalArticle	en
heal.identifier.primary	10.1002/fut.20449	en
heal.publicationDate	2010	en
heal.abstract	We study the difference in the volatility dynamics of CBOT corn, soybeans, and oats futures prices across different delivery horizons via a smoothed Bayesian estimator. We find that futures price volatilities in these markets are affected by inventories, time to delivery, and the crop progress period and that there are important differences in the effects across delivery horizons. We also find that price volatility is higher before the harvest starts in most cases compared to the volatility during the planting period. These results have implications for hedging, options pricing, and the setting of margin requirements. © 2010 Wiley Periodicals, Inc.	en
heal.journalName	Journal of Futures Markets	en
dc.identifier.issue	9	en
dc.identifier.volume	30	en
dc.identifier.doi	10.1002/fut.20449	en
dc.identifier.spage	846	en
dc.identifier.epage	873	en