Simulating the Value of Directional Information in Futures Markets by Jeffrey H. Dorfman and Christo

1
Simulating the Value of Directional Information
in Futures Markets byJeffrey H. Dorfman
and Christopher S. McIntosh
Suggested citation formatDorfman, J. H., and
C. S. McIntosh. Simulating the Value of
Directional Information in Futures Markets,"
Proceedings of the 1992 NCCC-134 Conference on
Applied Commodity Price Analysis, Forecasting,
and Market Risk Management. http//www.farmdoc.u
iuc.edu/nccc134
2
Testing Market Efficiency in a Controlled
Environment The Case of Parimutuel Gambling
byLeonardo R. Corral and Barry K. Goodwin
Suggested citation formatCorral, L. R., and B.
K. Goodwin. Testing Market Efficiency in a
Controlled Environment The Case of Parimutuel
Gambling," Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
3
Optimal Hedging in the Presence of Estimation
Risk bySergio H. Lence and Dermot J. Hayes
Suggested citation formatLence, S. H., and D.
J. Hayes. Optimal Hedging in the Presence of
Estimation Risk," Proceedings of the 1992
NCCC-134 Conference on Applied Commodity Price
Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
4
The Effect of Market Information on Corn and
Soybean Markets byPhilip Garcia and Raymond
M. Leuthold
Suggested citation formatGarcia P., and R. M.
Leuthold. The Effect of Market Information on
Corn and Soybean Markets," Proceedings of the
1992 NCCC-134 Conference on Applied Commodity
Price Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
5
Evaluation and Performance of the Frozen Pork
Belly Futures Markets byRaymond M.
Leuthold
Suggested citation formatLeuthold, R. M..
Evaluation and Performance of the Frozen Pork
Belly Futures Markets," Proceedings of the 1992
NCCC-134 Conference on Applied Commodity Price
Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
6
Estimating the Implicit Value of Management
and Production Technology for Contractually
Transferred Feeder Pigs byRoger
Dahlgran, Dennis DiPietre, Roderick Tubbs,
Bill Greenley
Suggested citation formatDahlgran, R., D.
DiPietre, R.Tubbs, and B. Greenley. Estimating
the Implicit Value of Management and Production
Technology for Contractually Transferred Feeder
Pigs," Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
7
An Integrated Model of Variability in Live Cattle
Futures Prices byKevin J. Evans, Deborah
H. Streeter, Michael A. Hudson
Suggested citation formatEvans, K. J., D. H.
Streeter, M. A. Hudson. An Integrated Model of
Variability in Live Cattle Futures Prices,"
Proceedings of the 1992 NCCC-134 Conference on
Applied Commodity Price Analysis, Forecasting,
and Market Risk Management. http//www.farmdoc.u
iuc.edu/nccc134
8
Simultaneously Derived Optimal Hedge Ratios for
East Central Illinois Corn and Soybean
Producers byJonathan M. Norvell and Raymond
M. Leuthold
Suggested citation formatNorvell, J. M., and
R. M. Leuthold. Simultaneously Derived Optimal
Hedge Ratios for East Central Illinois Corn and
Soybean Producers," Proceedings of the 1992
NCCC-134 Conference on Applied Commodity Price
Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
9
Prequential Approach to Turning Point Prediction
byHeon Kook and David A. Besler
Suggested citation formatKook, H., and D. A.
Besler. Prequential Approach to Turning Point
Prediction," Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
10
A Dynamic Minimum Variance Hedge bySergio
H. Lence, Kevin L. Kimle, Marvin L. Hayenga
Suggested citation formatLence, S. H., K. L.
Kimle, and M. L. Hayenga. A Dynamic Minimum
Variance Hedge," Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
11
Testing for Switching Market Conduct
byTimothy Park and Azzeddine Azzam
Suggested citation formatTimothy Park and
Azzeddine Azzam. Testing for Switching Market
Conduct," Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
12
Price Transmission Processes An Empirical
Analysis of the Apple Industry
byMichelle R. Hansmire and Lois Schertz
Willett
Suggested citation formatHansmire, M. R., and
L. S. Willett. Price Transmission Processes An
Empirical Analysis of the Apple Industry,"
Proceedings of the 1992 NCCC-134 Conference on
Applied Commodity Price Analysis, Forecasting,
and Market Risk Management. http//www.farmdoc.u
iuc.edu/nccc134
13
The Response of Wheat, Corn and Soybeans Futures
Prices to the USDA Export Inspection Report
byPhil L. Colling, Scott H. Irwin, Carl R.
Zulauf
Suggested citation formatColling, P. L., S. H.
Irwin, C. R. Zulauf. The Response of Wheat, Corn
and Soybeans Futures Prices to the USDA Export
Inspection Report," Proceedings of the 1992
NCCC-134 Conference on Applied Commodity Price
Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
14
Speculative Activity and Price Volatility in the
Live Cattle Futures Market byJohn B.
Rowsell and Wayne D. Purcell
Suggested citation formatRowsell, J. B., and
W. D. Purcell. Speculative Activity and Price
Volatility in the Live Cattle Futures Market,"
Proceedings of the 1992 NCCC-134 Conference on
Applied Commodity Price Analysis, Forecasting,
and Market Risk Management. http//www.farmdoc.u
iuc.edu/nccc134
15
Output Uncertainty in Fed Cattle Hedging
byBrian D. Adam, Stephen R. Koontz, James
N. Trapp
Suggested citation formatAdam, B. D., S. R.
Koontz, and J. N. Trapp. Output Uncertainty in
Fed Cattle Hedging," Proceedings of the 1992
NCCC-134 Conference on Applied Commodity Price
Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
16
Forecasting the Nearby Basis of Live Beef Cattle
byShi-Miin Liu, B. Wade Brorsen,
Charles Oellermann, Paul Farris
Suggested citation formatLiu, S.-M., B. W.
Brorsen, C. Oellermann, P. Farris. Forecasting
the Nearby Basis of Live Beef Cattle,"
Proceedings of the 1992 NCCC-134 Conference on
Applied Commodity Price Analysis, Forecasting,
and Market Risk Management. http//www.farmdoc.u
iuc.edu/nccc134
17
Modelling Risk Response in the Marketing Channel
for Beef A Multivariate Generalized Arch-M
Approach byMatthew T. Holt
Suggested citation formatHolt, M.T..
Modelling Risk Response in the Marketing Channel
for Beef A Multivariate Generalized Arch-M
Approach," Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
18
Considering Hedgers' Basis Risk in Designing
Agricultural Futures Contracts byRichard
G. Heifner, Gerald E. Plato, Bruce H. Wright
Suggested citation formatHeifner, R. G., G. E.
Plato, B. H. Wright. Considering Hedgers' Basis
Risk in Designing Agricultural Futures
Contracts," Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
19
Simultaneity and Structural Change in U.S.
Meat Demand byJames Eales and Laurian J.
Unnevehr
Suggested citation formatEales, J., and L. J.
Unnevehr. Simultaneity and Structural Change in
U.S. Meat Demand," Proceedings of the 1992
NCCC-134 Conference on Applied Commodity Price
Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
20
Price Volatility and Futures Market Reactions
to USDA Hogs and Pigs Report bySatheesh V.
Aradhyula, T. Kesavan, Matthew T. Holt
Suggested citation formatAradhyula, S. V., T.
Kesavan, M.T. Holt. Price Volatility and Futures
Market Reactions to USDA Hogs and Pigs Report,"
Proceedings of the 1992 NCCC-134 Conference on
Applied Commodity Price Analysis, Forecasting,
and Market Risk Management. http//www.farmdoc.u
iuc.edu/nccc134
21
An Examination of Cointegration in Storable
Commodities byT. Randall Fortenbery and
Hector O. Zapata
Suggested citation formatFortenbery, T. R.,
and H. O. Zapata. An Examination of
Cointegration in Storable Commodities,"
Proceedings of the 1992 NCCC-134 Conference on
Applied Commodity Price Analysis, Forecasting,
and Market Risk Management. http//www.farmdoc.u
iuc.edu/nccc134
22
Cash Settlement for Corn and Soybeans A
Preliminary Analysis byRobert Hauser, Nabil
Chaherli, and Sarahelen Thompson
Suggested citation formatHauser, R., N.
Chaherli, and S. Thompson. Cash Settlement for
Corn and Soybeans A Preliminary Analysis,"
Proceedings of the 1992 NCCC-134 Conference on
Applied Commodity Price Analysis, Forecasting,
and Market Risk Management. http//www.farmdoc.u
iuc.edu/nccc134
23
Are Outlook Price Forecasts Rational?
byScott H. Irwin, Mary E. Gerlow, Te-Ru Liu
Suggested citation formatIrwin, S. H., M. E.
Gerlow, T.-R. Liu. Are Outlook Price Forecasts
Rational?" Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
24
To Invert or Not To Invert The Case of Direct
and Inverse AIDS Meat Demand Systems
byThomas I. Wahl, Ron C. Mittelhammer,
Dermot J. Hayes
Suggested citation formatWahl, T. I., R. C.
Mittelhammer, D. J. Hayes. To Invert or Not To
Invert The Case of Direct and Inverse AIDS Meat
Demand Systems," Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
25
Forecasting Volatility for Commodity Option
Prices Incorporation of Volume and Open
Interest byAlbert A. Williams and Jack E.
Houston
Suggested citation formatWilliams, A. A., and
J. E. Houston. Forecasting Volatility for
Commodity Option Prices Incorporation of Volume
and Open Interest," Proceedings of the 1992
NCCC-134 Conference on Applied Commodity Price
Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
26
Forecasting Short-Run Fed Cattle Slaughter
byKevin J. Bacon, James M. Trapp, Stephen
R. Koontz
Suggested citation formatBacon, K. J., J. M.
Trapp, S. R. Koontz. Forecasting Short-Run Fed
Cattle Slaughter," Proceedings of the 1992
NCCC-134 Conference on Applied Commodity Price
Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
27
An Examination of Spatial and Intertemporal
Aspects of Basis Determination
byMaximilian Strobl, T. Randall Fortenbery,
Paul Fackler
Suggested citation formatStrobl, M., T. R.
Fortenbery, P. Fackler. An Examination of
Spatial and Intertemporal Aspects of Basis
Determination," Proceedings of the 1992 NCCC-134
Conference on Applied Commodity Price Analysis,
Forecasting, and Market Risk Management.
http//www.farmdoc.uiuc.edu/nccc134
28
An Application of Neural Networks Predicting
Corn Yields byJ. William Uhrig, Bernard A.
Engle, W. Lance Baker
Suggested citation formatUhrig, J. W., B. A.
Engle, W. L. Baker. An Application of Neural
Networks Predicting Corn Yields," Proceedings of
the 1992 NCCC-134 Conference on Applied Commodity
Price Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
29
Analysis of the Changing Structure of U.S.
Feed Demand byRobert E. Young II, and Gary
M. Adams
Suggested citation formatYoung, R. E. II, and
G. M. Adams. Analysis of the Changing Structure
of U.S. Feed Demand," Proceedings of the 1992
NCCC-134 Conference on Applied Commodity Price
Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
30
A Flexible Dynamic Inverse Demand System for
Meat Products in U.S. ByT. Kesavan and
Brian Buhr
Suggested citation formatKesavan, T., and B.
Buhr. A Flexible Dynamic Inverse Demand System
for Meat Products in U.S.," Proceedings of the
1992 NCCC-134 Conference on Applied Commodity
Price Analysis, Forecasting, and Market Risk
Management. http//www.farmdoc.uiuc.edu/nccc134
31
Formula Pricing of Feeder Pigs byJohn D.
Lawrence and Jennifer Schmidt
Suggested citation formatLawrence, J. D., and
J. Schmidt. Formula Pricing of Feeder Pigs,"
Proceedings of the 1992 NCCC-134 Conference on
Applied Commodity Price Analysis, Forecasting,
and Market Risk Management. http//www.farmdoc.u
iuc.edu/nccc134