Abstract
ABSTRACTThe purpose of this paper is to analyse the interdependence of price durations among agricultural futures contracts with different maturities. We apply an extended autoregressive conditional duration (ACD) model to storable and non-storable agricultural commodities. Using Chicago Mercantile Exchange (CME) Best-Bid-Best-Offer (BBO) futures data, we find duration dependence for corn, wheat, live cattle, and lean hog. Somewhat surprisingly, we do not find differences between storable and non-storable commodities. The main contribution of our analysis is to provide empirical evidence that short-term effects motivated by market microstructure theory do not outweigh arbitrage relations along the forward curve as suggested by theories of storage and normal backwardation.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
