Browse OFOR Working Paper Series by Title

  • 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, 1998-05)
    Value-at-Risk (VaR) determines the probability of a portfolio of assets losing a certain amount in a given time period due to adverse market conditions with a particular level of confidence. Value-at-Risk has received ...
    untranslated PDF (57KB)
  • 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 ...
    untranslated PDF (163KB)
  • 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 ...
    untranslated PDF (96KB)
  • 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 ...
    untranslated PDF (204KB)
  • 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 ...
    untranslated PDF (120KB)
  • 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 ...
    untranslated PDF (57KB)
  • 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 ...
    untranslated PDF (51KB)
  • 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. ...
    untranslated PDF (101KB)
  • Park, Hun Y.; Sarkar, Asani; Wu, Lifan (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, 1998-01)
    In the context of futures markets, we study whether brokers allocate more favorable trades to their own accounts, and less favorable trades to their customers. We find that, within a thirty minute trading bracket, brokers ...
    untranslated PDF (222KB)
  • Thompson, Sarahelen; 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 ...
    untranslated PDF (170KB)
  • 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 ...
    untranslated PDF (336KB)
  • Ditsch, Mark; 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, 1996-08)
    The lean hog futures contract is replacing the live hog futures contract at the Chicago Mercantile Exchange beginning with the February 1997 contract. The lean hog futures will be cash settled based on a broad-based lean ...
    untranslated Microsoft Word (84KB)
  • 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, ...
    untranslated PDF (1MB)
  • 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 ...
    untranslated PDF (926KB)
  • 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 ...
    untranslated PDF (296KB)
  • 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 ...
    untranslated PDF (103KB)
  • 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 ...
    untranslated PDF (266KB)
  • 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. ...
    untranslated PDF (67KB)
  • 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 ...
    untranslated PDF (75KB)
  • 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’ ...
    untranslated PDF (71KB)