Röthig, Andreas ; Chiarella, Carl (2006):
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]
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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: | Darmstadt Discussion Papers in Economics |
| Series 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 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: | 29 Jan 2016 09:14 |
| URN: | urn:nbn:de:tuda-tuprints-47642 |
| Additional Information: | JEL Classification: G10, G11, C22, C53 |
| URI: | https://tuprints.ulb.tu-darmstadt.de/id/eprint/4764 |
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