Röthig, Andreas and Chiarella, Carl (2006):
Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.
Darmstadt, In: Darmstadt Discussion Papers in Economics, [Online-Edition: http://econstor.eu/bitstream/10419/32068/1/511221614.PDF],
[Report]
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.
| Item Type: | Report |
|---|---|
| Erschienen: | 2006 |
| Creators: | Röthig, Andreas and Chiarella, Carl |
| 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 Name: | Darmstadt Discussion Papers in Economics |
| Volume: | 167 |
| Place of Publication: | Darmstadt |
| Uncontrolled Keywords: | Futures markets, speculation, nonlinear dynamics, smooth transition regression model |
| Divisions: | 01 Department of Law and Economics 01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete 01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete > Fachgebiet Makroökonomie und Finanzmärkte |
| Date Deposited: | 16 Oct 2009 14:12 |
| Official URL: | http://econstor.eu/bitstream/10419/32068/1/511221614.PDF |
| Additional Information: | JEL Classification: G10, G11, C22, C53 |
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