corporate risk management and the role of value-at-risk by dwight r. sanders and mark r. manfredo

Do Agricultural Market Advisory Services

Beat the Market?

by

Scott H. Irwin, Thomas E. Jackson, and Darrel L. Good

Suggested citation format:

Irwin, S. H., T. E. Jackson, and D. L. Good. 1999. “Do Agricultural Market Advisory Services Beat the Market?” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Corporate Risk Management and the Role of

Value-at-Risk

by

Dwight R. Sanders and Mark R. Manfredo


Sanders, D. R., and M. R. Manfredo. 1999. “Corporate Risk Management and the Role of Value-at-Risk.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Accuracy of USDA Fed Cattle Price Reporting:

Is Mandatory Price Reporting Needed?

by

Stephen R. Koontz


Koontz, S. R. 1999. “Accuracy of USDA Fed Cattle Price Reporting: Is Mandatory Price Reporting Needed?” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Who Will Pay for Guaranteed Tender Steak?

by

Jayson Lusk, John Fox, Ted Schroeder, James Mintert,

and Mohammad Koohmaraie


Lusk, J., J. Fox, T. Schroeder, J. Mintert, and M. Koohmaraie. 1999. “Who Will Pay for Guaranteed Tender Steak?” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Short-Term Variability in Grid Prices for Fed Cattle

by

Clement E. Ward and Jong-In Lee


Ward, C. E., and J.-I. Lee. 1999. “Short-Term Variability in Grid Prices for Fed Cattle.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Identifying and Managing Economic Risk

in Cattle Feeding

by

Darrell R. Mark, Rodney Jones, and Ted C. Schroeder


Mark, D. R., R. Jones, and T. C. Schroeder. 1999. “Identifying and Managing Economic Risk in Cattle Feeding.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Feeder Cattle Price Slides

by

B. Wade Brorsen, Nouhoun Coulibaly,

Francisca G. C. Richter, and DeeVon Bailey


Brorsen B. W., N. Coulibaly, F. G. C. Richter, and D.V. Bailey. 1999. “Feeder Cattle Price Slides.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Determinants of Replacement Heifer Price Differentials

by

Vern Pierce, Joe Parcell, and Richard Randle


Pierce, V., J. Parcell, and R. Randle. 1999. “Determinants of Replacement Heifer Price Differentials.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Evaluating Forecast Accuracy of Cattle on

Feed Pre-Release Estimates

by

Kevin Dhuyvetter and Ted Schroeder


Dhuyvetter, K., and T. Schroeder. 1999. “Evaluating Forecast Accuracy of Cattle on Feed Pre-Release Estimates.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Forecasting Fed Cattle, Feeder Cattle, and Corn Cash

Price Volatility: Time Series, Implied Volatility, and

Composite Approaches

by

Mark R. Manfredo, Raymond M. Leuthold,

and Scott H. Irwin


Manfredo, M. R., R. M. Leuthold, and S. H. Irwin. 1999. “Forecasting Fed Cattle, Feeder Cattle, and Corn Cash Price Volatility: Time Series, Implied Volatility, and Composite Approaches.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

The Term Structure of Uncertainty Implied

by Option Premia

by

John A. Shaffer and Bruce J. Sherrick


Shaffer, J. A., and B. J. Sherrick. 1999. “The Term Structure of Uncertainty Implied by Option Premia.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Evidence of Farmer Forward Pricing Behavior

by

Kevin McNew and Wesley Musser


McNew, K., and W. Musser. 1999. “Evidence of Farmer Forward Pricing Behavior.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Forecasting Crop Yields and Condition Indices

by

Paul L. Fackler and Bailey Norwood


Fackler, P. L., and B. Norwood. 1999. “Forecasting Crop Yields and Condition Indices.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

A Calendar Spread Trading Simulation of Seasonal

Processing Spreads

by

Christine A. Cole, Terry L. Kastens,

Frederick A. Hampel, and Laura R. Gow


Cole, C. A., T. L. Kastens, F. A. Hampel, and L. R. Gow. 1999. “A Calendar Spread Trading Simulation of Seasonal Processing Spreads.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Why Don’t Country Elevators pay More for High

Quality Wheat? The Effects of Risk Information

by

Brian D. Adam and Sueng Jee Hong


Adam, B. D., and S. J. Hong. 1999. “Why Don’t Country Elevators pay More for High Quality Wheat? The Effects of Risk Information.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Volatility Models for Commodity Markets

by

Paul L. Fackler and Yanjun Tian


Fackler, P. L., and Y. Tian. 1999. “Volatility Models for Commodity Markets.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Price Volatility in Dairy Markets: A Story of Stocks?

by

Rob Weaver and William Natcher


Weaver, R., and W. Natcher. 1999. “Price Volatility in Dairy Markets: A Story of Stocks?” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Commodity Futures Contract Viability:

A Multidisciplinary Approach

by

Joost M. E. Pennings and Raymond M. Leuthold


Pennings, J. M. E., and R. M. Leuthold. 1999. “Commodity Futures Contract Viability: A Multidisciplinary Approach.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Payoffs to Farm Management:

How Important Is Grain Marketing?

by

Heather Nivens and Terry L. Kastens


Nivens, H., and T. L. Kastens. 1999. “Payoffs to Farm Management: How Important Is Grain Marketing?" Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Testing the Possibility of Private Crop Insurance

and Reinsurance Markets

by

H. Holly Wang, Joseph L. Krogmeier, and Bingfan Ke


Wang, H. H., J. L. Krogmeier, and B. Ke. 1999. “Testing the Possibility of Private Crop Insurance and Reinsurance Markets.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Forecasting performance of Storable and

Non-Storable Commodities

by

Scott Daniel, Ted Schroeder, and Kevin Dhuyvetter


Daniel, S., T. Schroeder, and K. Dhuyvetter. 1999. “Forecasting performance of Storable and Non-Storable Commodities.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Post-Harvest Grain Storing and Hedging

with Efficient Futures

by

Terry L. Kastens and Kevin Dhuyvetter


Kastens, T. L., and K. Dhuyvetter. 1999. “Post-Harvest Grain Storing and Hedging with Efficient Futures.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Modeling Ex Ante Price Expectations

within the U.S. Broiler Market

by

Andrew McKenzie and Matthew T. Holt


McKenzie, A., and M. T. Holt. 1999. “Modeling Ex Ante Price Expectations within the U.S. Broiler Market.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Hog Profit Margin Hedging:

A Long-Term Out-of-Sample Evaluation

by

Gary D. Kee and David E. Kenyon


Kee, G. D., and D. E. Kenyon. 1999. “Hog Profit Margin Hedging: A Long-Term Out-of-Sample Evaluation.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Agricultural Economists’ Effectiveness in Reporting

and Conveying Research Procedures and Results

by

Joe L. Parcell, Terry L. Kastens, Kevin C. Dhuyvetter,

and Ted C. Schroeder


Parcell, J. L., T. L. Kastens, K. C. Dhuyvetter, and T. C. Schroeder. 1999. “Agricultural Economists’ Effectiveness in Reporting and Conveying Research Procedures and Results.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

They Trade Shrimp in Minneapolis? An Examination of

the MGE White Shrimp Futures Contract

by

Dwight R. Sanders and Joost M. E. Pennings


Sanders, D.R., and J. M. E. Pennings. 1999. “They Trade Shrimp in Minneapolis? An Examination of the MGE White Shrimp Futures Contract.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

A Full Bayesian Analysis of Structural Changes with the

AIDS Model: The Case of Meat Demand

by

Ibrahima Yague, Steven C. Turner, and Jeffrey H. Dorfman


Yague, I., S. C. Turner, and J. H. Dorfman. 1999. “A Full Bayesian Analysis of Structural Changes with the AIDS Model: The Case of Meat Demand.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

Bankers’ Forecasts of Farmland Value

by

Ted Covey


Covey, T. 1999. “Bankers’ Forecasts of Farmland Value.” Proceedings of the NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. Chicago, IL. [http://www.farmdoc.uiuc.edu/nccc134].

corporate risk management and the role of value-at-risk by dwight r. sanders and mark r. manfredo

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