Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices
Southern Journal of Agricultural Economics
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.
Bailey, D., B.W. Brorsen, and J.W. Richardson. Dynamic Stochastic Simulation of Daily Cash and Futures Cotton Prices. Southern Journal of Agricultural Economics 16(1984):109-16.