Departamento de Finanzas

Seminario 31: Are Corn Futures Prices Getting "Jumpy"?

Resumen del documento: The article sheds light on price jump risk in corn futures prices in the era of electronic trading and after the shift to real-time announcement of USDA reports. Using intraday prices from 2008 to 2015, we employ a nonparametric test to detect jumps and...