Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logisitic Smooth Transition Regression Models

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dc.contributor.author Rothig, A
dc.contributor.author Chiarella, C
dc.date.accessioned 2009-12-21T02:37:28Z
dc.date.issued 2007-01
dc.identifier.citation Journal Of Futures Markets, 2007, 27 (8), pp. 719 - 737
dc.identifier.issn 0270-7314
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5255
dc.description.abstract This study 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 through December 27, 2005, the authors reject linearity in all of these markets. Using smooth transition regression models, the authors found 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.
dc.publisher John Wiley & Sons Ltd
dc.relation.isbasedon 10.1002/fut.20266
dc.title Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logisitic Smooth Transition Regression Models
dc.type Journal Article
dc.parent Journal Of Futures Markets
dc.journal.volume 8
dc.journal.volume 27
dc.journal.number 8 en_US
dc.publocation New York, USA en_US
dc.identifier.startpage 719 en_US
dc.identifier.endpage 737 en_US
dc.cauo.name BUS.KURC: Quantitative Finance Research Centre en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.personcode 716350
dc.percentage 100 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)
utslib.collection.history Finance (ID: 371)


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