Rutledge (1976)Rutledge, 1976 Rutledge, D. J. S. (1976). A note on the variability of futures prices. Review of Economics and Statistics, 58(1), 118-120.
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Statistical tests |
Silver, cocoa, wheat and soybean oil |
1969-1971 (daily) |
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Anderson (1985)Anderson, 1985 Anderson, R. W. (1985). Some determinants of the volatility of futures prices. Journal of Futures Markets, 5, 331-348.
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Tests for equality of variances and regression analysis |
9 commodity futures prices (8 agricultural) |
1966-1980 (daily) |
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Milonas (1986)Milonas, 1986 Milonas, N. T. (1986). Price variability and the maturity effect in futures markets. Journal of Futures Markets, 6, 443-460.
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Tests for equality of variances and regression analysis |
11 futures prices (5 agricultural) |
1972-1983 (daily) |
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Kenyon, Kling, Jordan, Seale, and McCabe (1987)Kenyon et al., 1987 Kenyon, D., Kling, K., Jordan, J., Seale, W., & McCabe, N. (1987). Factors affecting agricultural futures price variance. Journal of Futures Markets, 7, 73-92.
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Regression analysis |
Corn, soybean, wheat, live cattle and live hog futures prices |
1974-1983 (daily) |
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Glauber and Heifner's (1986)Glauber and Heifner, 1986 Glauber, J. W., & Heifner, R. G. (1986). Forecasting futures price variability. Applied commodity price analysis, forecasting, and market risk management. In Proceedings of the NCR 134 conference (pp. 153–165).
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Regression analysis |
Soybean futures price |
1961-1984 (daily) |
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Streeter and Tomek (1992)Streeter and Tomek, 1992 Streeter, D. H., & Tomek, W. G. (1992). Variability in soybean futures prices: An integrated framework. Journal of Futures Markets, 12, 705-728.
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Regression analysis |
Soybean futures prices |
1976-1986 (daily) |
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Khoury and Yourougou (1993)Khoury and Yourougou, 1993 Khoury, N., & Yourougou, P. (1993). Determinants of agricultural futures price volatilities: Evidence from Winnipeg Commodity Exchange. Journal of Futures Markets, 13, 345-356.
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Regression analysis |
Canola, rye, feed barley, feed wheat, flaxseed, and oats futures prices |
1980-1989 (daily) |
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Bessembinder and Seguin (1993)Bessembinder and Seguin, 1993 Bessembinder, H., & Seguin, P. J. (1993). Price volatility, trading volume, and market depth: Evidence from futures markets. Journal of Financial and Quantitative Analysis, 28(1), 21-39.
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Regression analysis |
8 futures prices (2 agricultural) |
1982-1990 (daily) |
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Yang and Brorsen (1993)Yang and Brorsen, 1993 Yang, S. R., & Brorsen, B. W. (1993). Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?. Journal of Futures Markets, 13, 175-191.
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GARCH and deterministic chaos processes |
11 futures prices (7 agricultural) |
1979-88 (daily) |
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Hennessy and Wahl (1996)Hennessy and Wahl, 1996 Hennessy, D. A., & Wahl, T. I. (1996). The effects of decision making on futures price volatility. American Journal of Agricultural Economics, 78, 591-603.
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Contingent claims methodology |
Corn, soybeans and wheat |
1985-94 (monthly) |
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Kocagil and Shachmurove (1998)Kocagil and Shachmurove, 1998 Kocagil, A. E., & Shachmurove, Y. (1998). Return-volume dynamics in futures markets. Journal of Futures Markets, 18, 399-426.
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Time-series analysis |
16 futures prices (6 agricultural) |
1980-1995 (daily) |
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Malliaris and Urrutia (1998)Malliaris and Urrutia, 1998 Malliaris, A. G., & Urrutia, J. L. (1998). Volume and price relationships: Hypotheses and testing for agricultural future. Journal of Futures Markets, 18(4), 399-426.
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Time-series analysis |
Corn, wheat, oats, soybean, soybean meal, and soybean oil |
1981-1995 (daily) |
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Hudson and Coble (1999)Hudson and Coble, 1999 Hudson, D., & Coble, K. (1999). Harvest contract price volatility for cotton. Journal of Futures Markets, 19, 717-733.
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GARCH models |
Cotton futures prices (monthly) |
1982-97 (monthly) |
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Goodwin and Schnepf (2000)Goodwin and Schnepf, 2000 Goodwin, B. K., & Schnepf, R. (2000). Determinants of endogenous price risk in corn and wheat futures markets. Journal of Futures Markets, 20, 753-774.
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GARCH and VAR models |
Corn and wheat futures prices |
1986-1997 (weekly) |
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Allen and Cruickshank (2000)Allen and Cruickshank, 2000 Allen, D. E., & Cruickshank, S. N. (2000). Empirical testing of the Samuelson hypothesis: An application to futures markets in Australia, Singapore and the UK. Working paper. School of Finance and Business Economics, Edith Cowan University.
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Regression analysis and ARCH models |
12 commodity futures prices (9 agricultural) |
1979-1998 (daily) |
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Chatrath, Adrangi, and Dhanda (2002)Chatrath et al., 2002 Chatrath, A., Adrangi, B., & Dhanda, K. K. (2002). Are commodity prices chaotic?. Agricultural Economics, 27, 123-137.
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Chaos tests |
Corn, soybeans, wheat and cotton futures prices |
1968-1995 (daily) |
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Yang, Balyeat, and Leatham (2005)Yang et al., 2005 Yang, J., Balyeat, R. B., & Leatham, D. J. (2005). Futures trading activity and commodity cash price volatility. Journal of Business Finance & Accounting, 32, 297-323.
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Granger causality tests |
Corn, soybeans, wheat, sugar, coffee, live cattle and cotton futures prices |
1992-2001 |
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Smith (2005)Smith, 2005 Smith, A. (2005). Partially overlapping time series: A new model for volatility dynamics in commodity futures. Journal of Applied Econometrics, 20, 405-422.
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Partially overlapping time series model |
Corn futures prices |
1991-2000 (daily) |
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Daal, Farhat, and Wei (2006)Daal et al., 2006 Daal, E., Farhat, J., & Wei, P. P. (2006). Does futures exhibit maturity effect? New evidence from an extensive set of US and foreign futures contracts. Review of Financial Economics, 15(2), 113-128.
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Regression analysis |
61 futures contracts (23 agricultural) |
1960-2000 (daily) |
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Duong and Kalev (2008)Duong and Kalev, 2008 Duong, H. N., & Kalev, P. S. (2008). The Samuelson hypothesis in futures markets: An analysis using intraday data. Journal of Banking & Finance, 32(4), 489-500.
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Non-parametric and regression-based tests; GARCH model |
Tick-by-tick and bid-ask quote prices for 20 futures markets (10 agricultural) |
1996-2003 (intraday) |
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Kalev and Duong (2008)Kalev and Duong, 2008 Kalev, P. S., & Duong, H. N. (2008). A test of the Samuelson hypothesis using realized range. Journal of Futures Markets, 28, 680-696.
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Nonparametric test and regression analysis |
14 futures prices (10 agricultural) |
1996-2003 (intraday) |
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Balcombe (2009)Balcombe, 2009 Balcombe, K. (2009). The nature and determinants of volatility in agricultural prices: An empirical study from 1962–2008. A report to the Food and Agriculture Organization of the United Nations.
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Decomposition and panel approaches |
19 agricultural spot prices |
Varies (monthly-annual) |
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Karali and Thurman (2010)Karali and Thurman, 2010 Karali, B., & Thurman, W. N. (2010). Components of grain futures price volatility. Journal of Agricultural and Resource Economics, 35(2), 167-182.
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GLS estimation |
Corn, soybean, wheat, and oats futures price |
1986-2007 (daily) |
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Karali, Dorfman, and Thurman (2010)Karali et al., 2010 Karali, B., Dorfman, J. H., & Thurman, W. N. (2010). Delivery horizon and grain market volatility. Journal of Futures Markets, 30, 846-873.
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Smoothed Bayesian estimator |
Corn, soybeans, and oats futures prices |
Varied (daily) |
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Carpantier (2010)Carpantier, 2010 Carpantier, J.-F. (2010). Commodities inventory effect. Discussion Paper 2010/40. Belgium: Center for Operations Research and Econometrics, Université Catholique de Louvain, Louvain-la-Neuve.
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GJR-GARCH and EGARCH models |
15 commodity spot prices (5 agricultural) |
1994-2009 (daily) |
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Verma and Kumar (2010)Verma and Kumar, 2010 Verma, A., & Kumar, C. V. R. S. V. (2010). An examination of the maturity effect in the Indian commodities futures market. Agricultural Economics Research Review, 23, 335-342.
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Regression analysis |
Wheat and pepper futures prices |
2004-2007 (daily) |
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Stigler and Prakash (2011)Stigler and Prakash, 2011 Stigler, M., & Prakash, A. (2011). The role of low stocks in generating volatility and panic. In A. Prakash (Ed.), Safeguarding food security in volatile global markets (pp. 314–328). Rome: Food and Agriculture Organization of the United Nations (FAO).
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Markov regime-switching GARCH |
16 commodity spot prices |
1985-2009 (daily) |
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Carpantier and Dufays (2012)Carpantier and Dufays, 2012 Carpantier, J.-F., & Dufays, A. (2012). Commodities volatility and the theory of storage. Discussion Paper 2012/37. Belgium: Center for Operations Research and Econometrics, Université Catholique de Louvain, Louvain-la-Neuve.
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GJR-GARCH model |
16 commodity spot prices (7 agricultural) |
1994-2011 (weekly) |
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Vivian and Wohar (2012)Vivian and Wohar, 2012 Vivian, A., & Wohar, M. E. (2012). Commodity volatility breaks. Journal of International Financial Markets, Institutions and Money, 22(2), 395-422.
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Iterative cumulative sum of squares and GARCH |
28 commodities (13 agricultural) |
1985-2010 (daily) |
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Gupta and Rajib (2012)Gupta and Rajib, 2012 Gupta, S. K., & Rajib, P. (2012). Samuelson hypothesis & Indian commodity derivatives market. Asia-Pacific Financial Markets, 19(4), 331-352.
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GARCH, EGARCH and TGARCH |
8 commodity futures prices (1 agricultural) |
2008-2009 (daily) |
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Ghoshray (2013)Ghoshray, 2013 Ghoshray, A. (2013). Dynamic persistence of primary commodity prices. American Journal of Agricultural Economics, 95(1), 153-164.
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Bootstrap methods |
24 commodity spot prices (18 agricultural) |
1900-2008 (annual) |
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Karali and Power (2013)Karali and Power, 2013 Karali, B., & Power, G. J. (2013). Short- and long-run determinants of commodity price volatility. American Journal Agricultural Economics, 95(3), 724-738.
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Spline-GARCH model and SUR framework |
11 commodity futures prices (5 agricultural) |
1990-2005 (daily) |
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Khan (2014)Khan, 2014 Khan, B. F. (2014). Determinants of futures price volatility of storable agricultural commodities: The case of cotton (Thesis in Agricultural and Applied Economics). Texas Tech University.
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GARCH model |
Cotton futures prices |
2001-2010 (weekly) |
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He et al. (2014)He et al., 2014 He, L. -Y., Yang, S., Xie, W. -S., & Han, Z. -H. (2014). Contemporaneous and asymmetric properties in the price–volume relationships in China's agricultural futures markets. Emerging Markets Finance and Trade, 50, 148-166.
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Time series analysis |
Soybean, soy meal, corn, hard wheat, strong gluten wheat, and sugar |
Until June-2010 (daily) |
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Dawson (2015)Dawson, 2015 Dawson, P. J. (2015). Measuring the volatility of wheat futures prices on the LIFFE. Journal of Agricultural Economics, 66(1), 20-35.
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GARCH model |
Wheat futures market |
1996-2012 (daily) |
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