Browse OFOR Working Paper Series by Issue

  • Thompson, Sarahelen R.; Kunda, Eugene (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, 2000-04)
    E-commerce will have a profound effect on agricultural markets. Due to lower transactions costs, more firms throughout the agricultural value chain will be able to engage in business-to-business e-commerce. Products and ...

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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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  • 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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  • 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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  • Poteshman, Allen M.; Serbin, Vitaly (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, 2001-08)
    This paper analyzes the early exercise of Chicago Board Options Exchange listed calls by different classes of investors over the 1996-1999 period. We present two main findings. First, there are a large number of early ...

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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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  • Kim, Min-Kyoung; 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, 1997-11)
    The distributional behavior for futures price spread changes is examined through parametric and nonparametric tests on four different commodities: corn and live cattle, and gold and T-bonds with two different sample sizes. ...

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  • Bera, Anil K.; Garcia, Philip; Roh, Jae Sun (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, 1997-12)
    This paper deals with the estimation of optimal hedge ratios. A number of recent papers have demonstrated that the ordinary least squares (OLS) method which gives constant hedge ratio is inappropriate and recommended the ...

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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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  • Zanini, Fabio; Garcia, Philip (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)
    The paper assesses the usefulness of selective hedging strategies when combined with forecast techniques in the live hog contract. The use of routine futures and options hedging is not attractive relative to a cash-only ...

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  • Tirupattur, Viswanath; Hauser, Robert J.; Chaherli, Nabil 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, 1996-12)
    The use of crop yield futures contracts is examined. The expectation being modeled here reflects that of an Illinois corn and soybeans producer at planting, of revenue realized at harvest. The effects of using price and ...

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  • 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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  • 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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  • 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, 1999-05)
    We propose a development process of commodity futures contracts in which the decisions and wishes of potential customers are investigated simultaneously with the necessary technical properties that need to be met for trading ...

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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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  • 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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  • 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, 2000-10)
    We propose a behavioral decision-making model to investigate what factors, observable as well as unobservable, owner-managers consider regarding futures contract usage. The conceptual model consists of two phases, reflecting ...

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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, 2000-04)
    Price series that are 21.5 years long for six agricultural futures markets, corn, soybeans, wheat, hogs, coffee, and sugar, exhibit time-varying volatility, carry long-range dependence, and portray excessive skewness and ...

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  • Byoun, Soku; Kwok, Chuck C.Y.; 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)
    Previous studies have tested the expectations hypothesis of the term structure of implied volatility using xed-interval time-series of at-the-money options. We show, using a stochastic volatility option pricing model, ...

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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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