Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32068
Authors: 
Röthig, Andreas
Chiarella, Carl
Year of Publication: 
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

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