Geman, Hélyette and Vergel Eleuterio, Pedro (2015) Revisiting uncertainty and price forecast indicators in corn and wheat markets. Journal of Agricultural Extension and Rural Development 7 (5), pp. 156-169. ISSN 2141-2170.
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Abstract
The purpose of this paper is twofold: First, we look at the fundamentals of spot prices of corn and wheat and analyse several measures of dispersion, arguing that the use of the standard deviation of prices is more instructive for regulators and world food organisations than volatility, that is, standard deviation of returns. Second, we look at alternative predictors of corn and wheat spot prices and exhibit that the average value of the forward curve introduced by Borovkova and Geman (2006) performs better than individual forward prices to forecast spot prices at future dates.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | Grain markets, volatility of returns, standard deviation of prices, geometric average of forward prices, commodity spot price predictors |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Research Centres and Institutes: | Commodities Finance Centre |
| Depositing User: | Helyette Geman |
| Date Deposited: | 26 May 2016 13:31 |
| Last Modified: | 27 Jul 2025 08:29 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/15332 |
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