Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
An Appraisal Of Composite Forecasting Methods With Applications To Agricultural Commodity Price Series
Download An Appraisal Of Composite Forecasting Methods With Applications To Agricultural Commodity Price Series full books in PDF, epub, and Kindle. Read online An Appraisal Of Composite Forecasting Methods With Applications To Agricultural Commodity Price Series ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis An Appraisal of Composite Forecasting Methods with Applications to Agricultural Commodity Price Series by : David William Park
Download or read book An Appraisal of Composite Forecasting Methods with Applications to Agricultural Commodity Price Series written by David William Park and published by . This book was released on 1986 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Appraisal of Composite Forecasting Methods by : David W. Park
Download or read book An Appraisal of Composite Forecasting Methods written by David W. Park and published by . This book was released on 1986 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Applied Commodity Price Analysis and Forecasting by : Brian Holding
Download or read book Applied Commodity Price Analysis and Forecasting written by Brian Holding and published by . This book was released on 1981 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Price Volatility Forecasts for Agricultural Commodities by : Guillermo Benavides
Download or read book Price Volatility Forecasts for Agricultural Commodities written by Guillermo Benavides and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been substantial research effort aimed to forecast futures price return volatilities of financial and commodity assets. Some part of this research focuses on the performance of time-series models (in particular ARCH models) versus option implied volatility models. A significant part of the literature related to this topic shows that volatility forecast accuracy is not easy to estimate regardless of the forecasting model applied. This paper examines the volatility accuracy of volatility forecast models for the case of corn and wheat futures price returns. The models applied here are a univariate GARCH, a multivariate ARCH (the BEKK model), an option implied and a composite forecast model. The composite model includes time-series (historical) and option implied volatility forecasts. The results show that the option implied model is superior to the historical models in terms of accuracy and that the composite forecast model was the most accurate one (compared to the alternative models) having the lowest mean-square-errors. Given these findings it is recommended to use a composite forecast model if both types of data are available i.e. the time-series (historical) and the option implied. In addition, the results of this paper are consistent to that part of the literature that emphasizes the difficulty on being accurate about forecasting asset price return volatility. This is because the explanatory power (coefficient of determination) calculated in the forecast regressions were relatively low.
Book Synopsis Dissertation Abstracts International by :
Download or read book Dissertation Abstracts International written by and published by . This book was released on 1999 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis North Central Journal of Agricultural Economics by :
Download or read book North Central Journal of Agricultural Economics written by and published by . This book was released on 1986 with total page 1002 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Situation and Outlook Report written by and published by . This book was released on 1992 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Applied Commodity Price Analysis, Forecasting, and Market Risk Management by :
Download or read book Applied Commodity Price Analysis, Forecasting, and Market Risk Management written by and published by . This book was released on 1986 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Improving the Accuracy of Outlook Price Forecasts: An Application to Livestock Markets by : Evelyn Del Valle Colino
Download or read book Improving the Accuracy of Outlook Price Forecasts: An Application to Livestock Markets written by Evelyn Del Valle Colino and published by ProQuest. This book was released on 2009 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: The performance and economic value of public outlook forecasts has been of continuing interest to agricultural economists and market participants. This dissertation provide new and powerful evidence on the performance of outlook forecasts relative to futures prices in hog and cattle markets over the last three decades and evaluates numerous time-series models and combinatory procedures as forecasting techniques to improve the predictive accuracy of hog price outlook forecasts. Many of these forecasting techniques have never been applied to livestock markets. Quarterly data from the mid- to late-1970s through 2007 for up to three-quarter ahead is available from four prominent outlook programs: University of Illinois/Purdue University, Iowa State University, University of Missouri, and the Economic Research Service of the U.S. Department of Agriculture (USDA). Overall, results show that in general, futures outperform outlook with some differences statistical significant. However, a combination of futures and outlook forecasts generally provide lower forecast errors than futures alone, and therefore, outlook forecasts of hog and cattle prices provide incremental information relative to futures prices. When compared to numerous time-series models, Iowa's estimates are in general outperformed with statistical insignificant differences. However, even with the use of simple time-series models, findings from the encompassing tests highlight the efficacy of improving Iowa's price forecasting performance via composite procedures. Finally, given the potential benefits of forecast combination, numerous combinatory techniques are evaluated in a true out-of-sample context. A true out-of-sample evaluation of composite forecasts is an issue not always carefully considered in the literature. Results show that significant forecast error reductions can be obtained from the combination of outlook, futures and two simple time-series models under most of the methods considered. More interesting, the simple average composite shows an outstanding performance that tends to increase at longer horizons, a result consistent with previous literature. In addition, evidence says that the accuracy of futures prices is stellar at the first horizon, but weaker at distant horizons, suggesting that the value of market forecasts lies primarily in the short-run.
Author :United States. Cooperative State Research Service. Current Research Information System Publisher : ISBN 13 : Total Pages :940 pages Book Rating :4.:/5 (31 download)
Book Synopsis Swine Research by : United States. Cooperative State Research Service. Current Research Information System
Download or read book Swine Research written by United States. Cooperative State Research Service. Current Research Information System and published by . This book was released on 1983 with total page 940 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book D.A.E. Research Report written by and published by . This book was released on 1985 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Forecasting Volatility in Agricultural Commodities Markets Considering Market Structural Breaks by : Mario Amado Ortez Amador
Download or read book Forecasting Volatility in Agricultural Commodities Markets Considering Market Structural Breaks written by Mario Amado Ortez Amador and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This decade has seen movements in commodity futures markets never seen before. There are many factors that have intensified price movements and volatility behavior. Those factors likely altering supply and demand include governmental policy within and outside of the U.S, weather shocks, geopolitical conflicts, food safety concerns etc. Whatever the reasons are for price movements it is clear that the volatility behavior in commodity markets constantly change, and risk managers need to use current and efficient tools to mitigate price risk. This study identified market structural breaks of realized volatility in corn, wheat, soybeans, live cattle, feeder cattle and lean hogs futures markets. Furthermore, this study analyzes the forecasting performance of implied volatility, historical volatility, a composite approach and a naive approach as forecasters of realized volatility. The forecasting performance of these methods was analyzed in the full period of time of our weekly data from January 1995 to April 2014 and in each identified market regime for each commodity. Previous research has analyzed forecasting performance of implied volatility, a time series alternative and a composite method. However, to the best of my knowledge, they have not worried about market structural breaks in the data that might influence the performance of the mentioned forecasting methods in different periods of time. Overall, results indicate that indeed there are multiple market structural breaks present in the volatility datasets across all six commodities. We found differences in the forecasting performance of the analyzed methods when individual market regimes were analyzed. There seems to be evidence that corroborates the idea in the literature about the superiority of implied volatility over a historical volatility, a composite approach and a naive approach. Additionally, implied volatility encompassed all the information contained in the historical volatility and the naive measure across each identified market regime in all six commodities. Our results show that when both implied volatility and historical volatility are available, the benefit of combining those measures into a composite forecasting approach is very limited. Our results hold true for a short term 1 week ahead realized volatility forecast. It would be of interest to see how results vary for longer forecasting time horizons.
Book Synopsis Modeling Farm Decisions For Policy Analysis by : Kenneth H Baum
Download or read book Modeling Farm Decisions For Policy Analysis written by Kenneth H Baum and published by CRC Press. This book was released on 2019-03-08 with total page 442 pages. Available in PDF, EPUB and Kindle. Book excerpt: Microeconomic modeling has been an important tool for agricultural economists for several decades and promises to be important for ad-dressing the research problems of the 1980s as well. This volume explores the possibilities for using micromodeling to analyze how individual farm businesses react to and are affected by farm policies. Although this purpose represents only one potential use of micro-modeling, effective modeling for policy analysis necessitates a broad look from several historical, analytical, and institutional perspectives. The Micromodeling Conference held November 18-20, 1981, at Airlie House, Virginia, under the auspices of the U.S. Department of Agri-culture's Economic Research Service and the Farm Foundation reflected these concerns.
Book Synopsis American Doctoral Dissertations by :
Download or read book American Doctoral Dissertations written by and published by . This book was released on 1987 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Working Papers in Agricultural Economics by :
Download or read book Working Papers in Agricultural Economics written by and published by . This book was released on 1993 with total page 582 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Southern Journal of Agricultural Economics by :
Download or read book Southern Journal of Agricultural Economics written by and published by . This book was released on 1985 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis New Directions in Econometric Modeling and Forecasting in U.S. Agriculture by : Gordon C. Rausser
Download or read book New Directions in Econometric Modeling and Forecasting in U.S. Agriculture written by Gordon C. Rausser and published by North Holland. This book was released on 1982 with total page 856 pages. Available in PDF, EPUB and Kindle. Book excerpt:
