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Department of Agricultural and Consumer
Economics
Office for
Futures and Options Research (OFOR)
OFOR Working Paper Series
01-02
Allen M. Poteshman and Vitaly Serbin. "Clearly Irrational Financial
Market Behavior: Evidence from the Early Exercise of Exchange Traded
Stock Options"
01-01
Minqiang Li, Neil D. Pearson, and Allen M. Poteshman. "Facing Up to
Conditioned Diffusions"
00-08
Joost M.E. Pennings and Raymond M.
Leuthold. "A Behavioral Approach towards Futures Contract Usage"
00-07
Allen M. Poteshman. "Forecasting Future
Variance From Option Prices"
00-06
Allen M. Poteshman. "Underreaction,
Overreaction, and Increasing Misreaction to Information in the Options
Market"
00-05
Anjun Zhou. "Modeling the Volatility of
the Heath-Jarrow-Morton Model:A Multi-factor GARCH Analysis"
00-04
Anning Wei and Raymond M. Leuthold.
"Agricultural Futures Prices and Long Memory Processes"
00-03
Sarahelen Thompson and Eugene Kunda.
"E-commerce and Agricultural Markets"
00-02
Raymond M. Leuthold and Min-Kyoung Kim.
"Hedging Short-term Corn Price Risks In Tokyo versus Chicago's Project
A"
00-01
Joost M.E. Pennings and Raymond M.
Leuthold. "Hedging Revisited: Resolving Contractual Conflicts"
99-08
Mark R. Manfredo, Raymond M. Leuthold, and
Scott H. Irwin. "Forecasting Cash Price Volatility of Fed Cattle, Feeder
Cattle, and Corn: Time Series, Implied Volatility, and Composite
Approaches"
99-07
Phelim P. Boyle, Seokgu Byoun, and Hun Y.
Park. "Temporal Price Relation between Stock and Option Markets and A
Bias of Implied Volatility in Option Price"
99-06
Soku Byoun, Chuck C.Y. Kwok, and Hun Y.
Park. "Expectations Hypothesis of the Term Structure of Implied
Volatility: Re-examination"
99-05
Neil D. Pearson and Anjun Zhou. "A
Nonparametric Analysis of the Forward Rate Volatilities"
99-04
Mark R. Manfredo and Raymond M. Leuthold.
"Market Risk Measurement and the Cattle Feeding Margin: An Application
of Value-at-Risk"
99-03
Joost M.E. Pennings and Raymond M.
Leuthold. "Futures Exchange Innovations: Reinforcement versus
Cannibalism"
99-02
Joost M.E. Pennings and Raymond M.
Leuthold. "Commodity Futures Contract Viability: A Multidisciplinary
Approach"
99-01
Joost M.E. Pennings and M.T.G. Meulenberg.
"The Financial Industry's Challenge of Developing Commodity Derivatives"
98-08
Xiongwei Ju and Neil D. Pearson. "Using
Value-at-Risk to Control Risk Taking: How Wrong Can You Be?"
98-07
David A. Chapman and Neil D. Pearson. "Is
the Short Rate Drift Actually Nonlinear?"
98-06
David A. Chapman, John B. Long Jr., and
Neil D. Pearson. "Using Proxies for the Short Rate: When are Three
Months Like an Instant?"
98-05
Dwight R. Sanders, Philip Garcia, and
Raymond M. Leuthold. "The Forecasting Value of New Crop Futures: A
Decision-Making Framework"
98-04
Mark R. Manfredo and Raymond M. Leuthold.
"Agricultural Applications of Value-at-Risk Analysis: A Perspective"
98-03
Anning Wei and Raymond M. Leuthold. "Long
Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?"
98-02
Mikhail A. Noussinov and Raymond M.
Leuthold. "Optimal Hedging Strategies for the U.S. Cattle Feeder"
98-01
Hun Y. Park, Asani Sarkar, and Lifan Wu.
"Do Brokers Misallocate Customer Trades? Evidence from Futures Markets"
97-06
Anil K. Bera, Philip Garcia, and Jae-Sun
Roh. "Estimation of Time-Varying Hedge Ratios for Corn and Soybeans:
BGARCH and Random Coefficient Approaches"
97-05
Fabio C. Zanini and Philip Garcia. "Did
Producer Opportunities in the Live Hog Contract Decline?"
97-04
Carl R. Zulauf and Scott H. Irwin. "Market
Efficiency and Marketing to Enhance Income of Crop Producers"
97-03
Min-Kyoung Kim and Raymond M. Leuthold.
"The Distributional Behavior of Futures Price Spread Changes: Parametric
and Nonparametric Tests for Gold, T-Bonds, Corn and Live Cattle"
97-02
Dwight R. Sanders, Scott H. Irwin, and
Raymond M. Leuthold. "Noise Traders, Market Sentiment, and Futures Price
Behavior"
97-01
W. Bruce Canoles, Sarahelen R. Thompson,
Scott H. Irwin, and Virginia G. France. "An Analysis of the Profiles and
Motivations of Habitual Commodity Speculators."
96-05
Viswanath Tirupattur, Robert J. Hauser,
and Nabil M. Chaherli. "Crop Yield and Price Distributional Effects on
Revenue Hedging."
96-04
Thomas J. Linsmeier and Neil D. Pearson.
"Risk Measurement: An Introduction to Value at Risk." July 1996.
96-03
Mark W. Ditsch and Raymond M. Leuthold.
"Evaluating the Hedging Potential of the Lean Hog Futures Contract."
August 1996.
96-02
Dwight R. Sanders, Scott H. Irwin and
Raymond M. Leuthold. "Noise Trader Demand in Futures Markets." June
1996.
96-01
Herbert L. Baer, Virginia G. France and
James T. Moser. "Opportunity Cost and Prudentiality: An Analysis of
Futures Clearinghouse Behavior." January 1996.
95-03
Bruce J. Sherrick, Philip Garcia and
Viswanath Tirupattur. "Recovering Probabilistic Information from Option
Markets: Tests for Distributional Assumptions." March 1995.
95-02
Nabil M. Chaherli and
Robert Hauser. "Delivery Systems Versus Cash Settlement in Corn and
Soybean Futures Contracts." January 1995.
95-01
Peter R. Locke, Asani
Sarkar and Lifan Wu. "Did the Good Guys Lose? Regulatory Restrictions of
Dual Trading." January 1995.
94-12
Richard Lu and Raymond M.
Leuthold. "Cointegration Relations between Spot and Futures Prices for
Storable Commodities: Implications for Hedging and Forecasting."
December 1994.
94-11
Philip Garcia and Dwight
R. Sanders. "Ex Ante Basis Risk in the Live Hog Futures Contract:
Has Hedgers' Risk Increased?" December 1994.
94-10
Viswanath Tirupattur,
Philip Garcia, and Raymond M. Leuthold. "Price Linkages in Selected
Agricultural, Industrial, Financial and Foreign Exchange Futures Markets
Using Daily Data." November 1994.
94-09
Hun Y. Park, Asani Sarkar.
" Measuring Changes in Liquidity of the Futures Market." November 1994.
94-08
Hun Y. Park, Asani Sarkar,
and Lifan Wu. "The Costs and Benefits of Endogenous Marketmaking: The
Case of Dual Trading." October 1994.
94-07
Dwight R. Sanders.
"Overreaction in the Future-Implied Petroleum Refining Margin?" October
1994.
94-06
Sarahelen Thompson, Philip
Garcia, and Lynne Dallafior "The Demise of the High Fructose Corn Syrup
Contract: A Case Study." June 1994.
94-05
Hun Y. Park, Edward F.
Pierzak, and Hsiu-Lang Chen. "Do Stock Index Futures Prices Overreact?"
May 1994.
94-04
Philip Garcia, Scott H..
Irwin, Raymond M. Leuthold, and Li Yang. "New Evidence on the Value of
Public Information in Commodity Markets." May 1994.
94-03
Nachiappan Narayanan,
Steven T. Sonka, Raymond M. Leuthold, and John S. Chandler. "
Artificially Intelligent DSS - Application to Futures Markets and Its
Effects." March 1994.
94-02
Kent G. Becker and Joseph
E. Finnerty. "Indexed Commodity Futures and the Risk and Return of
Institutional Portfolios."
94-01
Phelim P. Boyle and Hun Y.
Park. " Implied Volatility in Option Prices and the Lead-Lag Relation
Between Stock and Option Prices." February 1994.
93-04
Thomas E. Jackson, Carl R.
Zulauf, and S. Irwin. "Mean Reversion in Agricultural Prices?" October
1993.
93-03
Don R. Rich. "The
Valuation of Black-Scholes Options Subject to Intertemporal Default
Risk." September 1993.
93-02
P. Boyle and I. Lee.
"Deposit Insurance and Changing Volatility." October 1993
93-01
P. Gore and R. Leuthold.
"Selective Hedging Opportunities and Strategies in Livestock Futures and
Options Markets." July 1993.