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» Resultado: 2 registros
| Registro 1 de 2 | |
| Autor: | Egelkraut, T.M. - Garcia, P. - Sherrick, B.J. - |
| Título: | The term structure of implied forward volatility: Recovery and informational content in the corn options market |
| Fuente: | American Journal of Agricultural Economics. v.89, n.1. American Agricultural Economics Association |
| Páginas: | pp. 1-11 |
| Año: | 2007 |
| Resumen: | Using a flexible method, we develop the term structure of volatility implied by corn futures options with differing maturities, and evaluate its ability to predict subsequent realized price volatility. The implied forward volatilities anticipate realized volatility well. For the nearby interval, the implied forward volatilities provide unbiased forecasts, and are superior to forecasts based on historical volatilities. For more distant intervals, early-year options predict the direction and magnitude of future volatility changes about as well as a three-year moving average and better than a nai?ve forecast. However, later-year options display less forecast power in part due to reduced trading activity. |
| Solicitar por: | HEMEROTECA A + datos de Fuente |
| Registro 2 de 2 | |
| Autor: | Huang, H. - Miller, G.Y. - Sherrick, B.J. - Gómez, M.I. |
| Título: | Factors influencing Illinois farmland values |
| Fuente: | American Journal of Agricultural Economics. v.88, n.2. American Agricultural Economics Association |
| Páginas: | pp. 458-470 |
| Año: | 2006 |
| Resumen: | A hedonic model of Illinois farmland values is estimated using county-level cross-section time-series data. Explanatory variables include land productivity, parcel size, improvements, distances to Chicago and other large cities, an urban-rural index, livestock production through swine operation scale and farm density measures, population density, income, and inflation. The inclusion of spatial and serial correlation components substantially improves the model fit. Farmland values decline with parcel size, ruralness, distance to Chicago and large cities, and swine farm density, and increase with soil productivity, population density, and personal income. |
| Solicitar por: | HEMEROTECA A + datos de Fuente |
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