English, Article, Journal or magazine article edition: THE DISTRIBUTIONAL BEHAVIOR OF FUTURES PRICE SPREAD CHARGES: PARAMETRIC AND NONPARAMETRIC TESTS FOR GOLD, T-BONDS, CORN AND LIVE CATTLE Kim, Min-Kyoung; Leuthold, Raymond M.

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Bookmark: http://trove.nla.gov.au/version/148811
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • THE DISTRIBUTIONAL BEHAVIOR OF FUTURES PRICE SPREAD CHARGES: PARAMETRIC AND NONPARAMETRIC TESTS FOR GOLD, T-BONDS, CORN AND LIVE CATTLE
Author
  • Kim, Min-Kyoung
  • Leuthold, Raymond M.
Physical Description
  • preprint
Notes
  • The distributional behavior for futures price spread changes is examined through parametric and nonparametric tests on four different commodities: corn and live cattle, and gold and T-bonds with two different sample sizes. Data are examined for selected periods, stable (1992) and unstable (1988). Remarkably different results were found over commodities, time period, and sample size. Actual spread changes for the smaller sample size of gold and T-bonds and of corn produced more normal distributions as intervals were widened from daily to weekly, while all live cattle spreads for actual changes were normally distributed. However, the larger sample size of both gold and T-bonds and the relative spread changes for both corn and live cattle did not converge to a normal distribution. The "best fit" distribution was tested nonparametrically on all daily spread samples, and the logistic distribution prevailed, which supported the results of nonnormality from parametric distributional tests.
  • Marketing,
  • RePEc:ags:uiucao:14767
Language
  • English
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