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

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 Sozialwissenschaften > 330 Wirtschaft
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
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