


Registros recuperados: 10  

 

 


Frank, Julieta; Garcia, Philip. 
Understanding the determinants of liquidity costs in agricultural futures markets is hampered by a need to use proxies for the bidask spread which are often biased, and by a failure to account for a jointly determined micromarket structure. We estimate liquidity costs and its determinants for the live cattle and hog futures markets using alternative liquidity cost estimators, intraday prices and micromarket information. Volume and volatility are simultaneously determined and significantly related to the bidask spread. Daily volume is negatively related to the spread while volatility and volume per transaction display positive relationships. Electronic trading has a significant competitive effect on liquidity costs, particularly in the live cattle... 
Tipo: Conference Paper or Presentation 
Palavraschave: Bayesian estimation; Bidask spread determinants; Liquidity cost; Livestock Production/Industries; Marketing. 
Ano: 2009 
URL: http://purl.umn.edu/49575 
 

 


Jansson, Torbjorn. 
The primary objective of this paper is to estimate behavioural parameters of the quadratic regional supply models in the modelling system CAPRI, using the time series data in the CAPRI database. A secondary objective is to replace the constant yields of the original model by functions that depend on input use. Due to lack of statistical robustness, the second objective is not achieved, thus yields remain constant. A Bayesian highest posterior density estimator is developed to address the primary objective. After discarding regions with insufficient data, parameters for up to 23 crop production activities with related inputs, outputs, prices and behavioural functions are estimated for 165 regions in EU15. The results are systematically compared to the... 
Tipo: Working or Discussion Paper 
Palavraschave: Bayesian estimation; Errorsinvariables; PMP; Research Methods/ Statistical Methods; Q11; C32. 
Ano: 2007 
URL: http://purl.umn.edu/57030 
 

 

 


Frank, Julieta; Garcia, Philip. 
Estimation of liquidity costs in agricultural futures markets is challenging because bidask spreads are usually not observed. Spread estimators that use transaction data are available, but little agreement exists on their relative accuracy and performance. We evaluate four conventional and a recently proposed Bayesian estimators using simulated data based on Roll’s standard liquidity cost model. The Bayesian estimator tracks Roll’s model relatively well except when the level of noise in the market is large. We derive an improved estimator that seems to have a higher performance even under high levels of noise which is common in agricultural futures markets. We also compute liquidity costs using data for hogs and cattle futures contracts trading on the... 
Tipo: Conference Paper or Presentation 
Palavraschave: Liquidity costs; Bidask spread; Bayesian estimation; Gibbs sampler. 
Ano: 2007 
URL: http://purl.umn.edu/37572 
 

 
Registros recuperados: 10  


