Impact of WASDE reports on implied volatility in corn and soybean markets

Author:

Isengildina-Massa Olga,Irwin Scott H.,Good Darrel L.,Gomez Jennifer K.

Publisher

Wiley

Subject

Economics and Econometrics,Agronomy and Crop Science,Animal Science and Zoology,Geography, Planning and Development,Food Science

Reference35 articles.

1. Standard deviations implied in option prices as predictors of future stock price variability;Beckers;Journal of Banking and Finance,1981

2. The pricing of commodity contracts;Black;Journal of Financial Economics,1976

3. Botto, A.C., Isengildina, O., Irwin, S.H., & Good, D.L. (2006, July). Accuracy trends and sources of forecast errors in WASDE balance sheet categories for corn and soybeans. Selected Paper presented at the AAEA annual Meetings, Long Beach, CA.

4. Colling, P.L., Heifner, R., & Plato, G. (1993). Do Japanese corn and soybean futures markets respond to the USDA crop production report? Proceedings of the NCR-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management Conference, 211-225. Available at: http://www.farmdoc.uiuc.edu/nccc134/paperarchive.html

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