An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model

This paper describes the regulated agricultural commodity futures market of China, focusing on six actively traded futures: corn, strong gluten wheat, No. 1 soybean, soymeal, cotton, and white sugar. A novel skew Ornstein-Uhlenbeck model is employed to characterize price dynamics with government controls. The empirical analysis reveals significant phenomena in these indicates that are influenced by state policy. observed most notable grain futures, relatively weaker, but statistically significant, evidence oilseed soft markets. In addition, generalized quasi-likelihood ratio tests show superior model.