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The paper examines empirical returns from holding thirty- and ninety-day call and put positions, and the forecasting performance of implied volatility in the live and feeder cattle options markets. In both markets, implied volatility is an upwardly biased and inefficient predictor of realized...
Persistent link: https://www.econbiz.de/10009368384
determinants of these market shares and finally by a weighted least square regression, we analyse determinants of marketing margins …
Persistent link: https://www.econbiz.de/10010880359
The paper examines empirical returns from holding thirty- and ninety-day call and put positions,and the forecasting performance of implied volatility in the live and feeder cattle optionsmarkets. In both markets, implied volatility is an upwardly biased and inefficient predictor ofrealized...
Persistent link: https://www.econbiz.de/10009446388