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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

Röthig, Andreas and 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, [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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