Commodity Prices, Options and Futures Behaviour: The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme - Image 1

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LAP Lambert Academic Publishing Commodity Prices, Options and Futures Behaviour: The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme

Name: Commodity Prices, Options and Futures Behaviour: The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme
Brand: LAP Lambert Academic Publishing
Price: 68.0 GBP
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Description

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 Mexican economy of the ASERCA futures scheme.

Product Specifications

Brand: LAP Lambert Academic Publishing
Format: paperback
ASIN: 3838363388
Category: Books > Subjects > Business, Finance & Law > Economics
Domain: Amazon UK
Release Date: 21 May 2010
Listed Since: 25 May 2010

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LAP Lambert Academic Publishing Commodity Prices, Options and Futures Behaviour: The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme

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It has never been this cheap. We have no record of a lower price.

LAP Lambert Academic Publishing Commodity Prices, Options and Futures Behaviour: The Cases of Corn and Wheat with an Application to the Mexican (ASERCA) Scheme

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Price Analysis

Description

Product Specifications

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