SPECTRAL ANALYSIS OF THE THEORY OF ANTICIPATORY PRICES |
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Authors: | Robert G Chambers Michael W Woolverton |
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Institution: | University of Maryland * and Arizona State University |
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Abstract: | The paper investigates the intertemporal relationship between cash and futures price changes using the techniques of spectral analysis. Daily data for the wheat, corn and soybean markets are analysed to determine if and how cash and futures prices move together. On a daily basis wheat and corn cash and futures prices move together; soybeans cash and futures prices do not move together on a daily basis. |
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