RELATIONSHIP BETWEEN FUTURES CONTRACTS and MACROECONOMIC VARIABLES: VIOP30 and DOLLAR FUTURES CONTRACTS APPLICATION

The Relation Between Volatility and Maturity in Futures Contracts

Some students of futures markets believe that the volatility of futures prices increases as the futures contract nears maturity (see Telser, 1956; Segall, 1956; and Samuelson, 1965). Samuelson offers an explanation for the existence of the variability effect as reviewed in Section 1 of the paper. His hypothesis about the behavior of futures prices requires that the stochastic process characteri...

Cross-Hedging Fishmeal: Exploring Corn and Soybean Meal Futures Contracts

Memory in Returns and Volatilities of Commodity Futures’ Contracts

Various authors claim to have found evidence of stochastic long memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic and an estimate of the long-memory parameter based on the process spectrum. Results based on these new methods provide no evidence...

Teaching Financial Data Mining using Stocks and Futures Contracts

Financial data mining models is considered to be “the hardest way to make easy money.” Data miners are certainly motivated by the prospect of discovering a financial “Holy Grail.” However, designing and implementing a successful model poses many intellectual challenges. These include securing and cleaning data; acquiring a sufficient amount of financial domain knowledge; bounding the complexity...

Memory in Returns and Volatilities of Futures’ Contracts

Various authors claim to have found evidence of stochastic long-memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased-corrected version of the Hurst statistic, a nonparametric spectral test, and a spectral-regression estimate of the longmemory parameter. Results based on these new methods...