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Institut für Volkswirtschaftslehre, Technische Universität Darmstadt >
Darmstadt Discussion Papers in Economics, Inst. f. VWL, TU Darmstadt >
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http://hdl.handle.net/10419/32068
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| Title: | | Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models  |
| Authors: | | Röthig, Andreas Chiarella, Carl |
| Issue Date: | | 2006 |
| Series/Report no.: | | Darmstadt discussion papers in economics 167 |
| Abstract: | | This article explores nonlinearities in the response of speculators trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition regression models, we find a similar structure of nonlinearities with regard to the number of different regimes, the choice of the transition variable, and the value at which the transition occurs. |
| Subjects: | | Futures markets speculation nonlinear dynamics smooth transition regression model |
| JEL: | | G10 G11 C22 C53 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Darmstadt Discussion Papers in Economics, Inst. f. VWL, TU Darmstadt
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