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Seasonal Volatility of Corn Futures Prices

dc.contributor.author Seeley, Caleb
dc.date.accessioned 2009-09-16T15:33:33Z
dc.date.available 2009-09-16T15:33:33Z
dc.date.issued 2009
dc.identifier.uri https://hdl.handle.net/10161/1398
dc.description.abstract This paper examines the seasonal patterns evident in the volatility of corn futures prices. It adds to the high-frequency volatility literature by exploring large price discontinuities (jumps), and both the continuous and discontinuous portions of volatility in a commodity, corn. Furthermore, the paper analyzes how the growing cycle of corn influences volatility over the course of a year. After identifying a distinct pattern in the volatility of corn over the growing season, this paper articulates some of the potential causes of the observed trend. The amount of information available to the market seems to drive the volatility of corn prices, and the changes in volatility occur almost entirely in the continuous portion of volatility which led to jumps being evenly distributed throughout the year.
dc.format.extent 365979 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.title Seasonal Volatility of Corn Futures Prices
dc.type Honors thesis
dc.department Mathematics


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