摘要: We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining information simultaneously traded contracts, a generalized least squares method is implemented that allows us clearly distinguish among time-to-delivery effects, seasonality, calendar trend, persistence. find strong evidence (Samuelson) effects systematic seasonal components with increasing prior harvest times— an indirect confirmation theory storage.
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