Röthig, Andreas ; Chiarella, Carl (2009)
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.
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| Item Type: | Report |
|---|---|
| Type of entry: | Primary publication |
| Title: | Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models |
| Language: | English |
| Date: | 16 October 2009 |
| Place of Publication: | Darmstadt |
| Series: | Darmstadt Discussion Papers in Economics |
| Series Volume: | 167 |
| Abstract: | This article explores nonlinearities in the response of speculators’ trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition regression models, we find a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs. |
| Uncontrolled Keywords: | Futures markets, speculation, nonlinear dynamics, smooth transition regression model |
| URN: | urn:nbn:de:tuda-tuprints-47642 |
| Additional Information: | JEL Classification: G10, G11, C22, C53; Erstellt März 2006 |
| Classification DDC: | 300 Social sciences > 330 Economics |
| Divisions: | 01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte 01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete 01 Department of Law and Economics |
| Date Deposited: | 16 Oct 2009 14:12 |
| Last Modified: | 25 Oct 2023 09:33 |
| URI: | https://tuprints.ulb.tu-darmstadt.de/id/eprint/4764 |
| PPN: | 378321862 |
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