This article introduces a class of generalized duration models and shows that the autoregressive conditional duration (ACD) models and stochastic conditional duration (SCD) models discussed in the literature are special cases. The martingale estimating functions approach, which provides a...

We generalize the bandit process with a covariate introduced by Woodroofe in several significant directions: a linear regression model characterizing the unknown arm, an unknown variance for regression residuals and general discounting sequence for a non-stationary model. With the Bayesian...

In 1997 the Chicago Mercantile Exchange replaced its live hog futures contract with a cash settlement mechanism based on a Lean Hog Index. Although cash settlement was expected to increase the use of the contract as a hedging tool, producers and packers are concerned that convergence between...

Estimation of liquidity costs in agricultural futures markets is challenging because bid-ask spreads are usually not observed. Spread estimators that use transaction data are available, but little agreement exists on their relative accuracy and performance. We evaluate four conventional and a...

We re-assess the effect of new information contained in the Hogs and Pigs Reports (HPR) focusing on the rationality of the announcements. We find that HPR preliminary numbers are irrational estimates of the final numbers and market expectations before the announcements are also irrational...

We reassess the effect of new information in the Hogs and Pigs Reports (HPR) focusing on announcements’ rationality and alternative surprises. HPR announcements are irrational estimates of final estimates, and market expectations are irrational estimates of HPR numbers. Using the...