Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
نویسندگان
چکیده
منابع مشابه
Investigating nonlinear speculation in cattle , corn , and hog futures markets using logistic smooth transition regression models
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 regime...
متن کاملDarmstadt Discussion Papers in Economics Investigating nonlinear speculation in cattle , corn , and hog futures markets using logistic smooth transition regression models
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 regime...
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ژورنال
عنوان ژورنال: Journal of Futures Markets
سال: 2007
ISSN: 0270-7314,1096-9934
DOI: 10.1002/fut.20266