Browse OFOR Working Paper Series by Title

  • Li, Minqiang; Pearson, Neil D.; Poteshman, Allen M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 2001-04)
    Most data used in finance are generated naturally rather than experimentally. While researchers are typically interested in estimates of model parameters that are not conditional on the particular sample, actual estimates ...

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  • Pennings, Joost M.E.; Meulenberg, M.T.G. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1999-05)
    With a constant new stream of financial services coming to the market, each often more exotic and complicated than the last, the financial services industry, which includes commodity derivatives exchanges, brokerage ...

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  • Manfredo, Mark R.; Leuthold, Raymond M.; Irwin, Scott H. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1999-12)
    Considerable research effort has focused on the forecasting of asset return volatility. Debate in this area centers around the performance of time series models, in particular GARCH, relative to implied volatility from ...

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  • Poteshman, Allen M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 2000-09)
    Although it is widely believed that option prices provide the best possible forecasts of the future variance of the assets which underlie them, a large body of empirical evidence concludes that option prices consistently ...

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  • Sanders, Dwight R.; Garcia, Philip; Leuthold, Raymond M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-05)
    The statistical forecasting efficiency of new crop corn and soybean futures is the topic of frequent academic inquiry. However, few studies address the usefulness of these forecasts to economic agents’ decision making. ...

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  • Pennings, M.E.; Leuthold, Raymond M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1999-05)
    Futures exchanges are in constant search of futures contracts that will generate a profitable level of trading volume. In this context, it would be interesting to determine what effect the introduction of new futures ...

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  • Pennings, Joost M.E.; Leuthold, Raymond M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 2000-01)
    This paper develops an alternative view on the motivation to hedge. A conceptual model shows how hedging facilitates contract relationships between firms and can solve conflicts between firms. In this model, firms’ ...

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  • Leuthold, Raymond M.; Kim, Min-Kyoung (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 2000-01)
    This study investigates whether U.S. corn merchants can effectively manage the overnight price risk of cash corn purchased after the Chicago Board of Trade closes at 1:15 p.m. on either the electronic Project A market or ...

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  • Chapman, David A.; Pearson, Neil D. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-06-16)
    Virtually all existing continuous-time, single-factor term structure models are based on a short rate process that has a linear drift function. However, there is no strong a priori argument in favor of linearity, and Stanton ...

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  • Wei, Anning; Leuthold, Raymond M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-05)
    Price series that are 21.5 years long for six agricultural futures markets, corn, soybeans, wheat, hogs, coffee and sugar, possess characteristics consistent with nonlinear dynamics. Three nonlinear models, ARCH, long ...

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  • Zulauf, Carl R.; Irwin, Scott H. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1997-10)
    Recent changes in farm policy have renewed interest in using marketing strategies based on futures and options markets to enhance the income of field crop producers. This article reviews the literature surrounding the ...

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  • Manfredo, Mark R.; Leuthold, Raymond M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1999-08)
    Value-at-Risk, known as VaR, gives a prediction of potential portfolio losses, with a certain level of confidence, that may be encountered over a specified time period due to adverse price movements in the portfolio’s ...

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  • Zhou, Anjun (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 2000-08)
    Based on the nonparametric study of Pearson and Zhou (1999), a parametric HJM model is developed for the forward rate volatility. It allows the volatility of the forward rate with different maturities to react in a different ...

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  • Sanders, Dwight R.; Irwin, Scott H.; Leuthold, Raymond M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1996-06)
    Theoretical noise trader models suggest that uninformed traders can impact market prices. However, these models conclusions depend crucially on the assumed specification for noise trader demand. This research seeks to ...

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  • Pearson, Neil D.; Zhou, Anjun (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1999-10)
    Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of interest rates which nests most other models as special cases. In their framework, the dynamics of the term structure and ...

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  • Baer, Herbert L.; France, Virginia G.; Moser, James T. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1996-01)
    This paper develops a model which explains how the creation of a futures clearinghouse allows traders to reduce default and economize on margin. We contrast the collateral necessary between bilateral partners with that ...

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  • Noussinov, Mikhail A.; Leuthold, Raymond M. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-04)
    Multiproduct optimal hedging is compared to alternative hedging strategies as applied to a Midwestern cattle feeder. One-period feeding margin hedge ratios are estimated using weekly cash and futures price data from a ...

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  • Boyle, Phelim P.; Byoun, Seokgu; Park, Hun Y. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1999-09)
    We show that if a particular temporal relation exists between the option and spot markets, the implied volatility in option prices can be biased depending on the level of the true volatility. The higher the true volatility, ...

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  • Chapman, David A.; Long, John B., Jr.; Pearson, Neil D. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-09-23)
    The dynamics of the unobservable “short” or “instantaneous” rate of interest are frequently estimated using a proxy variable. We show the biases resulting from this practice (the “proxy” problem) are related to the derivatives ...

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  • Ju, Xiongwei; Pearson, Neil D. (Office for Futures and Options Research, Department of Agricultural Economics, College of Agricultural, Consumer, and Environmental Sciences at the University of Illinois at Urbana-Champaign, 1998-10)
    We study a source of bias in value-at-risk estimates that has not previously been recognized. Because value-at-risk estimates are based on past data, a trader will often have a good understanding of the errors in the ...

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