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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

Röthig, Andreas and Chiarella, Carl :
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.
In: Darmstadt Discussion Papers in Economics, 167. Darmstadt
[Report], (2006)

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Item Type: Report
Title: Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Language: English
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.

Series Name: Darmstadt Discussion Papers in Economics
Volume: 167
Place of Publication: Darmstadt
Uncontrolled Keywords: Futures markets, speculation, nonlinear dynamics, smooth transition regression model
Classification DDC: 300 Sozialwissenschaften > 330 Wirtschaft
Divisions: 01 Law and Economics > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte
01 Law and Economics > Volkswirtschaftliche Fachgebiete
01 Law and Economics
Date Deposited: 16 Oct 2009 14:12
Last Modified: 29 Jan 2016 09:14
URN: urn:nbn:de:tuda-tuprints-47642
Additional Information:

JEL Classification: G10, G11, C22, C53

Additional Information:

JEL Classification: G10, G11, C22, C53

URI: http://tuprints.ulb.tu-darmstadt.de/id/eprint/4764
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