The information content of implied volatility in agricultural commodity markets

Article Abstract:

The incremental information content of lagged implied volatility is compared to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. The results indicate that the implied volatility for options on futures contracts in agricultural commodity markets provides relevant volatility information.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

Survival of commodity trading advisors: 1990-2003

Article Abstract:

A study on the commodity trading advisors from 1990 to 2003 proves that the advisors who followed the strategies, which generate lower returns or exposed the funds higher risks found it difficult to survive.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code:

The information content of implied volatility in light of the jump/continuous decomposition of realized volatility

Article Abstract:

The efficacy of historical volatility in predicting the future volatility, by estimating regression, is analyzed.

User Contributions:

Comment about this article or add new information about this topic:

Comment:  (50-4000 characters)

Name:

E-mail:

Security Code: