Pregled bibliografske jedinice broj: 477896
Visualizing Risk Premiums in Commodity Futures Markets
Visualizing Risk Premiums in Commodity Futures Markets // Agricultural and Applied Economics Association, 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado
Denver (CO), Sjedinjene Američke Države, 2010. (poster, nije recenziran, neobjavljeni rad, znanstveni)
CROSBI ID: 477896 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
Visualizing Risk Premiums in Commodity Futures Markets
Autori
Bozic, Marin ; Fortenbery, T. Randall
Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni
Skup
Agricultural and Applied Economics Association, 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado
Mjesto i datum
Denver (CO), Sjedinjene Američke Države, 25.07.2010. - 27.07.2010
Vrsta sudjelovanja
Poster
Vrsta recenzije
Nije recenziran
Ključne riječi
commodity markets; visualization; risk premium
Sažetak
Utilizing realized prediction errors we can graphically show the forecasting performance of futures prices over an extended time period. Using this method we can easily identify time‐to‐maturity and seasonality components of risk premiums. Figures developed reveal nonlinear behavior of forecasting bias in the time‐to‐maturity dimension, and the importance of information revealed at the end of June for seasonal pattern of bias. In further research we will develop statistical tests for futures prices unbiasedness based on correlated realized prediction errors.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
Projekti:
002-0022469-2468 - Održivi razvoj, inovacije i regionalna politika Republike Hrvatske (Starc, Nenad, MZOS ) ( CroRIS)
Ustanove:
Ekonomski institut, Zagreb
Profili:
Marin Božić
(autor)
