The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: the Case of Corn and Wheat

Using a restricted version of the BEKK model it is tested an implication of the theory of storage that supply-and-demand fundamentals affect the price dynamics of agricultural commodities. The commodities under analysis are corn and wheat. An interest-storage-adjusted-spread was used as a proxy vari...

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Bibliographic Details

Main Author:	Benavides Perales, Guillermo
Format:	Article
Language:	Spanish
Published:	Universidad Autónoma de Nuevo León 2010
Subjects:	Agricultural commodities BEKK model multivariate GARCH Samuelson hypothesis theory of storage.
Online Access:	https://ensayos.uanl.mx/index.php/ensayos/article/view/85