Speculative Activity and Returns Volatility of Chinese Major Agricultural Commodity Futures PDF Download

Author: Martin T. Bohl
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Matthias Kalkuhl
Publisher: Springer
ISBN: 3319282018
Category : Business & Economics
Languages : en
Pages : 620

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Book Description
This book provides fresh insights into concepts, methods and new research findings on the causes of excessive food price volatility. It also discusses the implications for food security and policy responses to mitigate excessive volatility. The approaches applied by the contributors range from on-the-ground surveys, to panel econometrics and innovative high-frequency time series analysis as well as computational economics methods. It offers policy analysts and decision-makers guidance on dealing with extreme volatility.

Author: Neil Shephard
Publisher: Oxford University Press, USA
ISBN: 0199257205
Category : Business & Economics
Languages : en
Pages : 534

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Book Description
Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.

Author:
Publisher:
ISBN:
Category : Delegated legislation
Languages : en
Pages : 468

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Author: Greg N. Gregoriou
Publisher: John Wiley & Sons
ISBN: 1118160959
Category : Business & Economics
Languages : en
Pages : 360

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Book Description
Authoritative, up-to-date research and analysis that provides a dramatic new understanding of the rewards-and risks-of investing in CTAs Commodity Trading Advisors (CTAs) are an increasingly popular and potentially profitable investment alternative for institutional investors and high-net-worth individuals. Commodity Trading Advisors is one of the first books to study their performance in detail and analyze the "survivorship bias" present in CTA performance data. This book investigates the many benefits and risks associated with CTAs, examining the risk/return characteristics of a number of different strategies deployed by CTAs from a sophisticated investor's perspective. A contributed work, its editors and contributing authors are among today's leading voices on the topic of commodity trading advisors and a veritable "Who's Who" in hedge fund and CTA research. Greg N. Gregoriou (Plattsburgh, NY) is a Visiting Assistant Professor of Finance and Research Coordinator in the School of Business and Economics at the State University of New York. Vassilios N. Karavas (Amherst, MA) is Director of Research at Schneeweis Partners. Francois-Serge Lhabitant (Coppet, Switzerland) is a FAME Research Fellow, and a Professor of Finance at EDHEC (France) and at HEC University of Lausanne (Switzerland). Fabrice Rouah (Montreal, Quebec) is Institut de Finance Mathématique de Montréal Scholar in the finance program at McGill University.

Author: United States. Congress. Senate. Committee on Agriculture, Nutrition, and Forestry
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 528

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Author: Frank J. Fabozzi
Publisher: John Wiley & Sons
ISBN: 0470293209
Category : Business & Economics
Languages : en
Pages : 986

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Book Description
Filled with a comprehensive collection of information from experts in the commodity investment industry, this detailed guide shows readers how to successfully incorporate commodities into their portfolios. Created with both the professional and individual investor in mind, The Handbook of Commodity Investments covers a wide range of issues, including the risk and return of commodities, diversification benefits, risk management, macroeconomic determinants of commodity investments, and commodity trading advisors. Starting with the basics of commodity investments and moving to more complex topics, such as performance measurement, asset pricing, and value at risk, The Handbook of Commodity Investments is a reliable resource for anyone who needs to understand this dynamic market.

Author: Samya Beidas-Strom
Publisher: International Monetary Fund
ISBN: 1498333486
Category : Business & Economics
Languages : en
Pages : 34

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Book Description
How much does speculation contribute to oil price volatility? We revisit this contentious question by estimating a sign-restricted structural vector autoregression (SVAR). First, using a simple storage model, we show that revisions to expectations regarding oil market fundamentals and the effect of mispricing in oil derivative markets can be observationally equivalent in a SVAR model of the world oil market à la Kilian and Murphy (2013), since both imply a positive co-movement of oil prices and inventories. Second, we impose additional restrictions on the set of admissible models embodying the assumption that the impact from noise trading shocks in oil derivative markets is temporary. Our additional restrictions effectively put a bound on the contribution of speculation to short-term oil price volatility (lying between 3 and 22 percent). This estimated short-run impact is smaller than that of flow demand shocks but possibly larger than that of flow supply shocks.

Author: Anastasios G. E. T. Al MALLIARIS
Publisher: World Scientific
ISBN: 9814566926
Category : Business & Economics
Languages : en
Pages : 844

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Book Description
"The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.

Author: Derek Headey
Publisher: Intl Food Policy Res Inst
ISBN: 0896291782
Category : Business & Economics
Languages : en
Pages : 142

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Book Description
The dramatic surge in food prices from 2005 to 2008 seriously threatened the world's poor, who struggle to buy food even under normal circumstances, and led to protests and riots in the developing world. The crisis eventually receded, but such surges could recur unless steps are taken to prevent them. Using up-to-date information, the authors of Reflections on the Global Food Crisis identify the key causes of the food price surge, its consequences for global poverty, and the challenges involved in preventing another crisis. Breaking from many earlier interpretations, the authors conclude that the crisis was not primarily fostered by increased demand for meat products in rising economies such as China and India or by declines in agricultural yields or food stocks, or by futures market speculation. Instead, they attribute the rising food prices to a combination of rising energy prices, growing demand for biofuels, the U.S. dollar depreciation; and various trade shocks related to export restrictions, panic purchases and unfavorable weather. As part of their analysis, the authors also provide the first comprehensive review of both the macroeconomic and microeconomic consequences of the crisis, as well as a detailed comparison of the current crisis with the food price crisis of 1974. To prevent another crisis, the authors conclude that the global food system should be reformed through several key steps: make trade in agricultural commodities more free yet more secure; address long-term threats to agricultural productivity, such as climate change and resource degradation; scale up social protection in potentially food insecure countries; and encourage agricultural production in at least some of the countries now heavily dependent on food imports. Reflections on the Global Food Crisis will be a valuable resource for policymakers, development specialists, and others concerned with the world's poorest people.