Staff Publications

Staff Publications

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    'Staff publications' is the digital repository of Wageningen University & Research

    'Staff publications' contains references to publications authored by Wageningen University staff from 1976 onward.

    Publications authored by the staff of the Research Institutes are available from 1995 onwards.

    Full text documents are added when available. The database is updated daily and currently holds about 240,000 items, of which 72,000 in open access.

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Record number 536977
Title Short-term price density forecasts in the lean HOG futures market
Author(s) Trujillo-Barrera, Andres; Garcia, Philip; Mallory, Mindy L.
Source European Review of Agricultural Economics 45 (2018)1. - ISSN 0165-1587 - p. 121 - 142.
DOI http://dx.doi.org/10.1093/erae/jbx026
Department(s) Marketing and Consumer Behaviour
WASS
Publication type Refereed Article in a scientific journal
Publication year 2018
Keyword(s) Commodities - Density forecast - Price analysis
Abstract We estimate and evaluate ex-ante density forecasts of lean hog futures prices using two approaches: forward-looking techniques using options market data and time series models. Our findings indicate that risk-neutral and risk-adjusted forward-looking market techniques are better calibrated and have superior predictive accuracy than time series GARCH models based on historical data. Improvements to goodness of fit and accuracy of the forecasts obtained by the calibration from risk-neutral to real-world densities imply that short-term risk premiums may be present in the lean hog futures markets, and they most likely appear in periods of market turmoil.
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