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Price Mean Reversion, Seasonality, and Options Markets

  • Published:2015-08-17 Issue:3 Volume:98 Page:707-725
  • ISSN:0002-9092
  • Container-title:American Journal of Agricultural Economics
  • language:en
  • Short-container-title:American Journal of Agricultural Economics

Author:

Hart Chad E.1,Lence Sergio H.2,Hayes Dermot J.3,Jin Na4

Affiliation:

1. Department of EconomicsIowa State University

2. Marlin Cole Chair of International Agricultural EconomicsDepartment of Economics at Iowa State University

3. Pioneer Chair in AgribusinessDepartments of Economics and Finance at Iowa State University

4. Discover Financial Services

Publisher

Wiley

Subject

Economics and Econometrics,Agricultural and Biological Sciences (miscellaneous)

Cited by 12 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Comparison of volatility and mean reversion among developed, developing and emerging countries;Journal of Economic and Administrative Sciences;2022-09-22

2. Handling the discontinuity in futures prices when time series modeling of commodity cash and futures prices;Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie;2022-05-09

3. Risk analysis model and agricultural derivative market use;Independent Journal of Management & Production;2021-12-01

4. Modeling the Commodity Prices of Base Metals in Indian Commodity Market Using a Higher Order Markovian Approach;Journal of Quantitative Economics;2021-11-18

5. The impact of price hedging on subsidized insurance: Evidence from Canada;Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie;2021-09-13
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