We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, we implement a generalized least squares method that allows us to clearly distinguish among time-to-delivery...

Biodiesel has recently drawn attention because of its potential to make an important contribution to national energy security and the environment. However, the rapid growth of biodiesel has raised concerns about biodiesel’s impact on the price level and volatility of agricultural commodities....

Output markets usually respond to input price changes asymmetrically, with prices rising faster than they fall, known as the rockets and feathers pattern. We expand the vector autoregressive quantile (VARQ) model by incorporating quantile cointegrating relationships to investigate such...

This study builds upon the existing literature on the Working curve and backwardation to explore the impact of storage regimes on the volatility measures of substitute agricultural commodity markets. We investigate the impact of commodity fundamentals (storage regime and stocks-to-use ratio),...