Erschienen in:Quantitative Finance Research Centre Research Paper ; No. 172
Umfang:
1 Online-Ressource (20 p)
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Nicht zu entscheiden
DOI:
10.2139/ssrn.893083
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Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2006 erstellt
Beschreibung:
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