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The distributional behavior of futures price spreads is examined for four commodities: corn, live cattle, gold and T-bonds. Remarkably different results are found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and for corn produce more normal distributions for weekly than for daily differencing intervals, while all live cattle spreads for actual changes are normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for corn and live cattle do not become more normally distributed under temporal aggregation of the data.

Keywords: corn ; futures price spreads ; gold ; goodness of fit ; live cattle ; normality tests ; spread distributions ; T-bonds

Subject(s): Marketing

Issue Date: 2000-04

Publication Type: Journal Article

PURL Identifier: http://purl.umn.edu/15399 Published in: Journal of Agricultural and Applied Economics, Volume 32, Number 1 Page range: 73-87

Total Pages: 15

Record appears in: Southern Agricultural Economics Association (SAEA) > Journal of Agricultural and Applied Economics





Autor: Kim, MinKyoung ; Leuthold, Raymond M.

Fuente: http://ageconsearch.umn.edu/record/15399?ln=en







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