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The theoretical source of autocorrelation in forward and futures price relationships

Article Abstract:

Autocorrelation is evident in the analysis of forward and futures contracts. This occurs when contracts are treated as indivisible and resettled. Without the indivisibility condition, the time paths of interest and futures rates would not influence forward-futures price differentials over discrete time methodically. Theoretical analysis of the autocorrelation function further reveals a bias toward time dependency in forward-futures price differentials.

Accounting, Autocorrelation (Statistics)

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Volatility, global information, and market conditions: a study in futures markets

Article Abstract:

Research is presented concerning the relationship which exists between the timing of the flow of information and the behavior of return volatility in a variety of market conditions. The influence of market depth and trading volume is discussed.

Exchange Rates, Asset & Risk Management, Foreign exchange, Money

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Determinants of endogenous price risk in corn and wheat futures markets

Article Abstract:

Issues are presented concerning the factors which cause a variability in price in the futures market for US wheat and corn. Nonstructural vector autoregressive models and conditional heteroscedasticity models are used.

Prices, Corn, Wheat, Heteroscedasticity

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