Commodity Prices, Options and Futures Behaviour Guillermo Benavides

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Guillermo Benavides - «Commodity Prices, Options and Futures Behaviour»

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An analysis of futures and spot price volatility of agricultural commodities including an assessment, from a social welfare perspective, of a Mexican- Government-Futures-Scheme (ASERCA futures-scheme) were conducted in this research project. The agricultural commodities under study were corn and wheat. For the volatility analysis an implication of the theory of storage and the Samuelson effect were tested using a restricted version of the BEKK model. The storage implication is that supply-and-demand fundamentals affect the price volatility of commodities whereas, for the Samuelson effect, spot prices are thought to be more volatile than futures prices. The same model estimates were then compared to option implied volatility and composite forecast models in order to find out which is the best model in terms of forecast accuracy. For the social welfare analysis a utility function and a non- structural model (VAR) were used in order to quantify the overall gains for the... Это и многое другое вы найдете в книге Commodity Prices, Options and Futures Behaviour (Guillermo Benavides)

Полное название книги Guillermo Benavides Commodity Prices, Options and Futures Behaviour
Автор Guillermo Benavides
Ключевые слова менеджмент, общий менеджмент
Категории Деловая литература, Менеджмент. Управление предприятием
ISBN 9783838363387
Издательство
Год 2010
Название транслитом commodity-prices-options-and-futures-behaviour-guillermo-benavides
Название с ошибочной раскладкой commodity prices, options and futures behaviour guillermo benavides