"Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices" by DeeVon Bailey, B. W. Brorsen et al.
 

Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices

Document Type

Article

Journal/Book Title/Conference

Southern Journal of Agricultural Economics

Volume

16

Publication Date

1984

First Page

109

Last Page

116

Abstract

A dynamic model of daily cash and futures prices for cotton was developed using time series analysis. The time series model was included in a recursive Monte Carlo simulation model. Validation of the model was performed with a stochastic, dynamic simulation of the estimated model over the observation period 1975-1982 and with a static, deterministic out-of-sample forecast from December 9, 1981 through March 9, 1982. The model was then used to incorporate futures trading strategies into a policy simulation model.

This document is currently not available here.

Plum Print visual indicator of research metrics
PlumX Metrics
  • Citations
    • Citation Indexes: 1
  • Usage
    • Abstract Views: 11
  • Captures
    • Readers: 5
see details

Share

COinS