Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logisitic Smooth Transition Regression Models

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dc.contributor.author Rothig, Andreas en_US
dc.contributor.author Chiarella, Carl en_US
dc.date.accessioned 2009-12-21T02:37:28Z
dc.date.available 2009-12-21T02:37:28Z
dc.date.issued 2007 en_US
dc.identifier 2006013564 en_US
dc.identifier.citation Rothig Andreas and Chiarella Carl 2007, 'Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logisitic Smooth Transition Regression Models', John Wiley & Sons Ltd, vol. 27, no. 8, pp. 719-737. en_US
dc.identifier.issn 0270-7314 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5255
dc.description.abstract This study 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 through December 27, 2005, the authors reject linearity in all of these markets. Using smooth transition regression models, the authors found a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs. en_US
dc.publisher John Wiley & Sons Ltd en_US
dc.relation.isbasedon http://dx.doi.org/10.1002/fut.20266 en_US
dc.title Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logisitic Smooth Transition Regression Models en_US
dc.parent Journal Of Futures Markets en_US
dc.journal.volume 27 en_US
dc.journal.number 8 en_US
dc.publocation New York, USA en_US
dc.identifier.startpage 719 en_US
dc.identifier.endpage 737 en_US
dc.cauo.name BUS.KURC: Quantitative Finance Research Centre en_US
dc.conference Verified OK en_US
dc.for 150200 en_US
dc.personcode 0000031073 en_US
dc.personcode 716350 en_US
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.staffid 716350 en_US


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