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Statistical Time Series Analysis on Basis and Volume Contracted

 

Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
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  • Product Description
 
Statistical time series analysis is a powerful method in characterizing the dynamics of variables in forward contract markets. Modeling univariate and multivariate time series variables will enable the modeler to build forecasting models. Variables in a given forward contract market (for example: basis, volume and weeks-to-expiration) can have causal relationship with each other and with their own lagged values. Variables with significant Granger causality are modeled using vector autoregressive processes, while variables with insignificant Granger causality are modeled using autoregressive and moving average processes. Basis and volume of forward contracted cattle in the United States exhibit behaviors pertinent to seasonal changes. In this thesis, we analyzed weekly data on basis, volume and weeks-to-expiration of forward contracted cattle in the United States. We developed monthly forecasting models for basis and volume contracted that can be utilized by farmers and policy makers.
Product Specifications
SKU :COC13704
AuthorZelalem Abahana,Matthew Diersen and Jing Li
LanguageEnglish
BindingPaperback
Number of Pages84
Publishing Year2/22/2012
ISBN978-3847371595
Edition1 st
Book TypeEconomics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-07-24 00:00:00