The Experts below are selected from a list of 3600 Experts worldwide ranked by ideXlab platform
Mark R Manfredo - One of the best experts on this subject based on the ideXlab platform.
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forecasting fed Cattle Feeder Cattle and corn cash price volatility the accuracy of time series implied volatility and composite approaches
Journal of Agricultural and Applied Economics, 2001Co-Authors: Mark R Manfredo, Raymond M Leuthold, Scott H IrwinAbstract:Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed Cattle, Feeder Cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series and implied volatilities are available.
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forecasting cash price volatility of fed Cattle Feeder Cattle and corn time series implied volatility and composite approaches
Social Science Research Network, 1999Co-Authors: Raymond M Leuthold, Mark R Manfredo, Scott H IrwinAbstract: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 observed option premiums. Existing literature suggests that the performance of any volatility forecast is sensitive to both the data and forecast horizon of interest. This paper rigorously examines the performance of several alternative volatility forecasts for fed Cattle, Feeder Cattle, and corn cash price returns. Forecasts include time series, implied volatility, and composite specifications. The results provide considerable insight into the performance of these alternative volatility forecasting procedures over a range of relevant forecast horizons. The evidence suggests that composite methods be used when both time series and implied volatilities are available. Insight is also gained into the performance of procedures used for scaling one-period volatility forecasts to longer horizons. However, consistent with the existing volatility forecasting literature, this research confirms the difficulty in finding a "best" volatility forecasting method across alternative data sets and horizons.
Scott H Irwin - One of the best experts on this subject based on the ideXlab platform.
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live and Feeder Cattle options markets returns risk and volatility forecasting
Journal of Agricultural and Resource Economics, 2011Co-Authors: Lee Brittain, Philip Garcia, Scott H IrwinAbstract:This paper examines returns from holding 30- and 90-day call and put positions, and the forecasting performance of implied volatility in the live and Feeder Cattle options markets. Implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most pronounced in live Cattle. While significant returns exist from several positions, strategies are strongly affected by drifts in futures prices. However, returns from live Cattle puts are persistent, and evidence from 30-day straddle returns indicates the live Cattle market overprices volatility. Overpricing is consistent with volatility risk, the effect of which is magnified by extreme market conditions.
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live and Feeder Cattle options markets returns risk and volatility forecasting
Research Papers in Economics, 2009Co-Authors: Lee Brittain, Philip Garcia, Scott H IrwinAbstract:The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and Feeder Cattle options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized volatility, with bias most prominent in live Cattle. While significant returns exist holding several market positions, most strategies are strongly affected by a drift in futures market prices. However, the returns from selling live Cattle puts are persistent, and evidence from straddle returns identifies that the market overprices volatility. This overpricing is consistent with a short-term risk premium whose effect is magnified by extreme changes in market conditions.
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forecasting fed Cattle Feeder Cattle and corn cash price volatility the accuracy of time series implied volatility and composite approaches
Journal of Agricultural and Applied Economics, 2001Co-Authors: Mark R Manfredo, Raymond M Leuthold, Scott H IrwinAbstract:Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed Cattle, Feeder Cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series and implied volatilities are available.
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forecasting cash price volatility of fed Cattle Feeder Cattle and corn time series implied volatility and composite approaches
Social Science Research Network, 1999Co-Authors: Raymond M Leuthold, Mark R Manfredo, Scott H IrwinAbstract: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 observed option premiums. Existing literature suggests that the performance of any volatility forecast is sensitive to both the data and forecast horizon of interest. This paper rigorously examines the performance of several alternative volatility forecasts for fed Cattle, Feeder Cattle, and corn cash price returns. Forecasts include time series, implied volatility, and composite specifications. The results provide considerable insight into the performance of these alternative volatility forecasting procedures over a range of relevant forecast horizons. The evidence suggests that composite methods be used when both time series and implied volatilities are available. Insight is also gained into the performance of procedures used for scaling one-period volatility forecasts to longer horizons. However, consistent with the existing volatility forecasting literature, this research confirms the difficulty in finding a "best" volatility forecasting method across alternative data sets and horizons.
Raymond M Leuthold - One of the best experts on this subject based on the ideXlab platform.
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forecasting fed Cattle Feeder Cattle and corn cash price volatility the accuracy of time series implied volatility and composite approaches
Journal of Agricultural and Applied Economics, 2001Co-Authors: Mark R Manfredo, Raymond M Leuthold, Scott H IrwinAbstract:Economists and others need estimates of future cash price volatility to use in risk management evaluation and education programs. This paper evaluates the performance of alternative volatility forecasts for fed Cattle, Feeder Cattle, and corn cash price returns. Forecasts include time series (e.g. GARCH), implied volatility from options on futures contracts, and composite specifications. The overriding finding from this research, consistent with the existing volatility forecasting literature, is that no single method of volatility forecasting provides superior accuracy across alternative data sets and horizons. However, evidence is provided suggesting that risk managers and extension educators use composite methods when both time series and implied volatilities are available.
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forecasting cash price volatility of fed Cattle Feeder Cattle and corn time series implied volatility and composite approaches
Social Science Research Network, 1999Co-Authors: Raymond M Leuthold, Mark R Manfredo, Scott H IrwinAbstract: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 observed option premiums. Existing literature suggests that the performance of any volatility forecast is sensitive to both the data and forecast horizon of interest. This paper rigorously examines the performance of several alternative volatility forecasts for fed Cattle, Feeder Cattle, and corn cash price returns. Forecasts include time series, implied volatility, and composite specifications. The results provide considerable insight into the performance of these alternative volatility forecasting procedures over a range of relevant forecast horizons. The evidence suggests that composite methods be used when both time series and implied volatilities are available. Insight is also gained into the performance of procedures used for scaling one-period volatility forecasts to longer horizons. However, consistent with the existing volatility forecasting literature, this research confirms the difficulty in finding a "best" volatility forecasting method across alternative data sets and horizons.
John D Lawrence - One of the best experts on this subject based on the ideXlab platform.
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the value of third party certification of preconditioning claims at iowa Feeder Cattle auctions
Journal of Agricultural and Applied Economics, 2007Co-Authors: Harun Bulut, John D LawrenceAbstract:After controlling a variety of Feeder Cattle characteristics and market and sale conditions in Iowa Feeder auctions, the price premiums for preconditioning claims (vaccinations and minimum 30 days of weaning) with and without third-party certification (TPC) are estimated as $l/cwt). This indicates that TPC is valued in the market to credibly signal preconditioning investment under asymmetric information.
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the value of third party certification of preconditioning claims at iowa Feeder Cattle auctions
Research Papers in Economics, 2006Co-Authors: Harun Bulut, John D LawrenceAbstract:After controlling a variety of Feeder Cattle characteristics and market and sale conditions, we estimate the price premiums for preconditioning (vaccinations and minimum 30 days weaning) claims with and without third-party certification (TPC) as $6.15/cwt and $3.40/cwt, respectively, in Iowa Feeder Cattle auctions. These premiums differ statistically (p-value less than 0.0001) and their difference exceeds the additional participation cost of TPC ($1/cwt) on average. This indicates that the third party certification is valued in the market to credibly signal preconditioning investment under asymmetric information.
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the value of information provision at iowa Feeder Cattle auctions
Research Papers in Economics, 2006Co-Authors: Harun Bulut, John D LawrenceAbstract:Controlling a variety of Feeder Cattle characteristics, and market and sale conditions, we estimate that certified vaccinations claims along with at least 30 days weaning claims bring in a premium of $6.13/cwt, which is nearly two times of that for similar uncertified claims, compared to no vaccinations and weaning claims at all in Iowa Feeder Cattle auctions. This indicates that the third-party certification is supported in the market as a tool to signal quality in terms of vaccinations and weaning claims towards preconditioning.
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estimating the value of source verification of Feeder Cattle
Research Papers in Economics, 2002Co-Authors: John D Lawrence, Godfred YeboahAbstract:Source-verified (SV) Feeder Cattle auctions were held in Bloomfield, Iowa, each October, November, and December from 1997-2000. This study compares price data from these SV auctions to traditional auctions at the same loation to determine whether a premium exists for SV Feeder Cattle. Hedonic pricing models were estimated to evaluate the price effects of lot characteristics, market forces and type of market(SV verus regular sale). The SV Cattle were sorted and pooled into large lots. The larger the lot size, consistent with early research, earned large price premiums. After accounting for lot size, the SV premium for lighter Cattle(
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estimating the value of source verification of Feeder Cattle
Journal of Agribusiness, 2002Co-Authors: John D Lawrence, Godfred YeboahAbstract:Source-verified (SV) Feeder Cattle auctions were held in Bloomfield, Iowa, each October, November, and December from 1997S2000. This study compares price data from these SV auctions to traditional auctions at the same location to determine whether a premium exists for SV Feeder Cattle. Hedonic pricing models were estimated to evaluate the price effects of lot characteristics, market forces, and type of market (SV versus regular sale). The SV Cattle were sorted and pooled into large lots. The larger lot size, consistent with early research, earned large price premiums. After accounting for lot size, the SV premium for lighter Cattle (< 650/ 600-pound steers/heifers) was estimated at $1.30/cwt, and was significant. The SV premium over and above lot size was not significant for heavier Feeder Cattle.
Ted C Schroeder - One of the best experts on this subject based on the ideXlab platform.
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conditional Feeder Cattle hedge ratios cross hedging with fluctuating corn prices
Journal of Commodity Markets, 2021Co-Authors: Justin D Bina, Ted C Schroeder, Glynn T TonsorAbstract:Abstract Feeder Cattle are a heterogeneous commodity whose prices differ in important ways relative to the Cattle specified in the CME Group Feeder Cattle futures contract. This necessitates estimation of optimal Feeder Cattle hedge ratios to manage price risk. Corn price is an important and often overlooked consideration when estimating Feeder Cattle hedge ratios. Corn price impacts Feeder Cattle weight-price slides and associated hedge ratios, which can result in over- or under-hedging. Utilizing transaction data from four Feeder Cattle markets, we estimate hedge ratios conditioned on corn price and compare risk of using corn-conditioned hedge ratios to using hedge ratios not dependent on corn price. Feeder Cattle hedge ratios vary substantially across time, sex, location, and weight, which necessitates more frequent and detailed hedge ratio estimation. However, hedging risk is not generally statistically or economically significantly reduced by using corn-conditioned hedge ratios.
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price weight relationships for Feeder Cattle
Canadian Journal of Agricultural Economics-revue Canadienne D Agroeconomie, 2000Co-Authors: Kevin C Dhuyvetter, Ted C SchroederAbstract:Feeder Cattle prices are determined by the interaction of numerous factors. As economic conditions change over time, price differentials associated with Feeder Cattle weight vary. This study analyzes transactions data on 46,081 pens of Feeder Cattle over a 10-year period. Results indicate that fed-Cattle futures prices and corn prices are important determinants of price-weight relationships for Feeder Cattle. Time of year, recent feeding margins and sex of Feeder Cattle have moderate impacts on the price-weight relationship (i.e., price slides). Coefficients of variation for fed Cattle and corn prices have economically unimportant impacts on price relationships. Results of this model can be used to assess Feeder Cattle price relationships across weights as fed Cattle and corn prices vary. Les prix des bovins d'engraissement sont fonction de I'interaction de nombreux facteurs. Au fil des changements des conditions economiques, les ecarts de prix associes au poids des bovins varient. Nous etudions les donnees de transactions realisees dans une periode de 10 ans sur 46 081 parquets de bovins d'engraissement. II ressort de ce travail que les prix e terme des bovins finis et le prix du mais sont d'importants determinants des rapports prix-poids pour ce type d'animaux. L'epoque de I'annee, les marges d'engraissement recentes et le type sexuel des bovins n'ont que des repercussions moderees sur le rapport prix-poids (c.-a-d. I'ecart de prix aux 100 Ib selon lepoids de I'animal). Les coefficients de variation relatifs aux prix des bovins finis et e ceux du mais sont denues de toute importance economique pour les rapports de prix. Les resultats du modele peuvent etre utilises pour evaluer les rapports de prix des bovins d'engraissement selon une echelle de poids en fonction des variations des prix des bovins gras et de ceux du mais.
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determinants of Feeder Cattle price weight slides
Research Papers in Economics, 1999Co-Authors: Kevin C Dhuyvetter, Ted C SchroederAbstract:Feeder Cattle price-weight slides are analyzed using transactions data on 46,123 pens of Feeder Cattle over a 10-year period. Fed Cattle futures prices and corn prices are important determinants of price-weight slides. Cattle producers can use this information when making sell timing decision, purchase decisions, and managing production.
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the effect of usda Cattle on feed reports on Feeder Cattle futures prices
1997 Annual Meeting July 13-16 1997 Reno\ Sparks Nevada, 1997Co-Authors: Kevin C Dhuyvetter, Ted C Schroeder, Joseph L ParcellAbstract:Unanticipated information in USDA Cattle on Feed reports is the difference between actual reported values and pre-release estimates. Feeder Cattle futures prices respond to unanticipated information even after accounting for live Cattle price response indicating these reports convey information relevant to the Feeder Cattle market beyond that reflected in the live Cattle market.
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Cattle Feeder behavior and Feeder Cattle placements
Journal of Agricultural and Resource Economics, 1994Co-Authors: Terry L Kastens, Ted C SchroederAbstract:Cattle Feeders appear irrational when they place Cattle on feed when projected profit is negative. Long futures positions appear to offer superior returns to Cattle feeding investment. Cattle Feeder behavior suggests that they believe a downward bias in live Cattle futures persists and that Cattle Feeders use different expectations than the live Cattle futures market price when making placement decisions. This study examines Feeder Cattle placement determinants, comparing performance of expected hedgeable profit with past actual profit in explaining Feeder Cattle placements. Past actual profit is a more important placement determinant than expected profit based upon the live Cattle futures market, even though hedgeable profit provides a superior forecast of future profit. In addition, potential deterrents to Cattle Feeders' use of futures as a substitute for Cattle ownership are discussed.
